The Effects of Decimalization on Return Volatility Components, Serial Correlation and Trading Costs

• المؤلفون الرئيسيون: HE, Yan, WU, Chunchi
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2005
• الموضوعات: Business; Finance and Financial Management
• الوصول للمادة أونلاين: 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

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...