scholarly journals The Impact of Tick Size Reduction on Liquidity and Order Strategy: Evidence from the Jakarta Stock Exchange (JSX)

2007 ◽  
Author(s):  
Irwan Adi Ekaputra ◽  
Basharat Ahmad
Keyword(s):  
Stock Exchange ◽  
Size Reduction ◽  
Tick Size ◽  
The Impact

scholarly journals The Impact of the Tick Size Reduction on Liquidity: Empirical Evidence from the Jakarta Stock Exchange

2004 ◽  
Vol 6 (2) ◽  
pp. 225 ◽  
Author(s):  
Lukas Purwoto ◽  
Eduardus Tandelilin
Keyword(s):  
Stock Exchange ◽  
Size Reduction ◽  
Trading Activity ◽  
Tick Size ◽  
Market Depth ◽  
Bid Ask Spread ◽  
Daily Data ◽  
Activity Measures ◽  
The Difference ◽  
The Impact

On July 3, 2000, the Jakarta Stock Exchange (JSX) reduced its tick size from Rp25.00 to Rp5.00. This study examines the impact of the tick size reduction on the JSX bid-ask spread, market depth, and trading activity. Using daily data, this study finds that the rupiah spread, percentage spread, and depth decreased significantly. All of these findings are not surprising since they are consistent with previous studies conducted in several different markets.In contrast to previous studies, this study finds that the key variable in determining the difference in performance of JSX stocks following the tick size reduction is the price of the stock. Specifically, all the trading activity measures e.g. in the number of trades, share volume, and rupiah volume, increased for low-priced stocks. Conversely, trading activity decreased for high-priced stocks. The possible explanation is that absolute tick size Rp5.00 is too small in economic terms for JSX high-priced stocks, so those decrease the investors’ willingness to trade.

scholarly journals Impact in Changing Price Fraction to the Stock Trading Indicators in Indonesia Stock Exchange

2016 ◽  
Vol 7 (3) ◽  
pp. 241
Author(s):  
Natalia Natalia ◽  
Mulyono Mulyono ◽  
Dian Kurnianingrum
Keyword(s):  
Stock Exchange ◽  
Tick Size ◽  
Stock Trading ◽  
The Impact

The purpose of this study was to determine how the impact of changes the price fraction to the stock trading indicator that is volume, value, and frequency of trading transactions. Data were analyzed using the Mann-Whitney U test. The results show that the volume of stock trading is not affected significantly by the implementation of the tick size, whereas for the value of trade and frequency of trade significantly affected.

Decimalization of Stock Exchanges

2011 ◽  
pp. 165-180
Author(s):  
Bin Chang
Keyword(s):  
New York ◽  
Stock Exchange ◽  
Stock Exchanges ◽  
New York Stock Exchange ◽  
Tick Size ◽  
Toronto Stock Exchange ◽  
Bid Ask Spread ◽  
Limit Orders ◽  
York Stock Exchange ◽  
The Impact

Technological innovation is propelling the move in financial markets away from fractional trading and towards decimal trading, as in the example of The New York Stock Exchange (NYSE) tick size changed from $1/16 to $0.01 on January 29, 2001. This chapter examines the impact of that trend as it relates to market quality and trading behaviour, and draws on comparisons between NYSE and NASDAQ, as well as evidence from other markets and market-traded securities, in demonstrating how decimalization leads to a decrease in the bid-ask spread and depth and an improvement in the probability of information-based trading, while having seemingly no effect on the frequency of limit orders. Our examination also demonstrates how the 1996 decimalization of the Toronto Stock Exchange (TSX, formerly TSE) has had little impact on its giant competitor, NYSE.

Tick Size Reduction and Order Submission Strategies on the Australian Stock Exchange

2009 ◽  
Author(s):  
Huu Nhan Duong ◽  
Petko S. Kalev ◽  
Troy O’Dwyer ◽  
Edwin D. Maberly
Keyword(s):  
Stock Exchange ◽  
Size Reduction ◽  
Tick Size

scholarly journals Tick Size Implementation of Kompas 100 Index at Indonesia Stock Exchange

2016 ◽  
Vol 7 (3) ◽  
pp. 289
Author(s):  
Agustini Hamid
Keyword(s):  
Market Microstructure ◽  
Negative Impact ◽  
Stock Exchange ◽  
Rank Test ◽  
Return Volatility ◽  
Tick Size ◽  
Signed Rank ◽  
Signed Rank Test ◽  
The Difference ◽  
The Impact

Tick Mechanism was included in market microstructure. It studied the process which investors’ latent demands were ultimately translated into prices and volumes. This research reviewed the theoretical, empirical, and experimental literature on market microstructure relating to return, volatility, and liquidity after implementation of new tick size in Indonesia Stock Exchange (IDX). The study took a sample of Kompas 100 index because it was represented all level of tick size at IDX. The data were analyzed using differences test with analysis tools e-views. Using Wilcoxon Signed Rank Test, there were not significance difference of volatility, return, and liquidity after the implementation of new tick size. The difference of implementation new tick size were contrary results that old tick size has a positive value to return and liquidity while it was negative for volatility. It means that increasing of liquidity and return have the impact to volatility. While the implementation of new tick size has the negative impact to return, liquidity, and volatility.

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