Eighths, sixteenths, and market depth: changes in tick size and liquidity provision on the NYSE
成果类型：
Article
署名作者：
Goldstein, MA; Kavajecz, KA
署名单位：
University of Pennsylvania; University of Colorado System; University of Colorado Boulder
刊物名称：
JOURNAL OF FINANCIAL ECONOMICS
ISSN/ISSBN：
0304-405X
DOI：
10.1016/S0304-405X(99)00061-6
发表日期：
2000
页码：
125-149
关键词：
摘要：
Using limit order data provided by the NYSE, we investigate the impact of reducing the minimum tick size on the liquidity of the market. While both spreads and depths (quoted and on the limit order book) declined after the NYSE's change from eighths to sixteenths, depth declined throughout the entire limit order book as well. The combined effect of smaller spreads and reduced cumulative limit order book depth has made liquidity demanders trading small orders better off; however, traders who submitted larger orders in lower volume stocks did not benefit, especially if those stocks were low priced. (C) 2000 Elsevier Science S.A. All rights reserved. JEL classification: G14.
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