Does M&A Investment Respond to A Stock Liquidity Shock? Evidence from the 2016 Tick-Size Pilot

2021 ◽  
Author(s):  
Chen Lin ◽  
Wentao Yao ◽  
Hong Zou
Keyword(s):  
Tick Size ◽  
Stock Liquidity ◽  
Liquidity Shock

scholarly journals Dampak Perubahan Tick Size Terhadap Likuiditas Saham (Studi Empiris Pada Bursa Efek Indonesia Berdasarkan Tick Size 6 Januari 2014)

2019 ◽  
Vol 2 (2) ◽  
pp. 152-162
Author(s):  
Risdy Absari Indah Pratiwi ◽  
Isfenti Sadalia ◽  
Sutarman Sutarman
Keyword(s):  
Stock Price ◽  
Rank Test ◽  
Tick Size ◽  
Stock Trading ◽  
Stock Liquidity ◽  
Trading Frequency ◽  
Stock Return Volatility ◽  
Spread Ratio ◽  
Signed Rank ◽  
Signed Rank Test

The objective of the research was to find out and to analyze the influence of the change in tick size on stock liquidity and the factors which influenced stock liquidity. Tick size which became the research object in this evet study was the tick size on January 6, 2014. The sources of data were secondary data from BEI and Yahoo Finance. The samples were 147 stocks before the change in tick size and 147 stocks after the change in tick size, using purposive sampling technique.The data were analyzed by using Wilcoxon signed-rank test and regression analysis with an SPSS software program. The result of the research showed that spread and depth decreased significantly after the change in tick size. Lower spread and depth had contradictory implication on stock liquidity. Based on the dimension of immediacy cost and width, lower spread indicated that stock liquidity increased, while based on the dimension of market depth, lower depth indicated that stock liquidity decreased. In order to settlethis contradiction, the researcher used depth to spread ratio. Intuitively, this ratio measured whether the decrease in depthwas bigger or smaller that the decrease in spread. The result of Wilcoxon signed-rank test indicated that depth to spread ratio increased significantly which indicated that the decrease in depth was smaller than in spread so that it was concluded that stock liquidity increased after the change in tick size. The result of F-test showed that stock price, stock return volatility, and stock trading frequency simultaneously had significant influence on spread and depth. The result of t-test also indicated that stock price, stock return volatility, and stock trading frequency partially had significant influence on spread and depth.

From cents to half-cents and its liquidity impact

2014 ◽  
Vol 26 (3) ◽  
pp. 160-176 ◽  
Author(s):  
Hamish D. Anderson ◽  
Yuan Peng
Keyword(s):  
New Zealand ◽  
Small Firms ◽  
Small Sample ◽  
Tick Size ◽  
Stock Liquidity ◽  
Content Type ◽  
Liquidity Measures ◽  
The Impact ◽  
Effective Spread ◽  
Selection Of

Purpose – The purpose of this paper is to examine the impact on stock liquidity following the reduction of minimum tick size from $0.01 to $0.005 for a selection of dual-listed and property stocks on the New Zealand Exchange (NZX) during 2011. Design/methodology/approach – Various liquidity measures were examined six months either side of the change in minimum tick size for the eligible stocks and these were compared to a sample of stocks matched on similar liquidity characteristics. Liquidity measures examined in the paper include quoted and effective spread, volume, depth and binding-constraint probability. Findings – After controlling for firms matched on similar pre-period liquidity characteristics both spread and depth decline significantly. Evidence that small firms experience significant declines in trading activity was also found, and while firms with higher binding-constraints probability have greater declines in spread, their decline in depth is greater still. Research limitations/implications – The small sample of 17 stocks eligible for the $0.005 minimum tick size potentially impacts on the strength of the statistical analysis. As such, it is harder to detect statistically significant changes in liquidity. Practical implications – These findings have important implications for policymakers as the hoped for benefits of smaller tick increments may only be fully realized by larger more active stocks. Originality/value – The paper examines the impact of a change in minimum tick size on eligible New Zealand Exchange (NZX) stocks to determine whether it meet the stated NZX goal of boosting liquidity.

Tick Size and Adverse Selection: Spurious Effects Arising from Serial Correlation

2008 ◽  
Author(s):  
Lynn Doran ◽  
Michael A. Goldstein ◽  
Evgenia V. Golubeva ◽  
Eric N. Hughson
Keyword(s):  
Adverse Selection ◽  
Serial Correlation ◽  
Tick Size

Price Stabilization in IPOs and Long-Term Stock Liquidity

2009 ◽  
Author(s):  
Antonio Gledson De Carvalho ◽  
Rodrigo Andrade Tolentino
Keyword(s):  
Price Stabilization ◽  
Stock Liquidity
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