The Effects of Decimalization on Return Volatility Components, Serial Correlation and Trading Costs
We examine the composition of return volatility, serial correlation, and trading costs before and after decimalization on the New York Stock Exchange. We decompose the variance of price changes into components associated with public news, rounding errors, and market-making frictions. We find that wh...
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| Main Authors: | , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2005
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/788 https://ink.library.smu.edu.sg/context/lkcsb_research/article/1787/viewcontent/EffectsDecimalization_2005_av.pdf |
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| Institution: | Singapore Management University |
| Language: | English |