Price Rounding and Bid-Ask Spreads before and after the Decimalization

• Main Authors: HE, Yan, WU, Chunchi
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2004
• Subjects: Price rounding; Bid-ask spreads; Decimalization; Business; Finance and Financial Management
• Online Access: https://ink.library.smu.edu.sg/lkcsb_research/831; https://ink.library.smu.edu.sg/context/lkcsb_research/article/1830/viewcontent/Pricerounding_bid_ask_2004_av.pdf
• Institution: Singapore Management University

We investigate price rounding before and after the pilot decimalization on the NYSE. We find that although rounding exists in transaction, bid, and ask prices in both the pre- and postdecimalization periods, it becomes less salient after the decimalization. The cross-sectional relationship between r...