Price Rounding and Bid-Ask Spreads before and after the Decimalization
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...
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| Main Authors: | , |
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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2004
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| Subjects: | |
| 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 |
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| Institution: | Singapore Management University |
| Language: | English |