Penny Pricing and the Components of Spread and Depth Changes

Recent studies show that decimal pricing led to significant reductions in the spread and depth on the NYSE. In this paper, we examine how the observed changes in the spread and depth can be attributed to different factors. We show that stocks with higher proportions of one-tick spreads and odd-sixte...

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Bibliographic Details
Main Authors: DING, David K., Chuang, K.H., Chearoenwong, C.
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2004
Subjects:
Online Access:https://ink.library.smu.edu.sg/lkcsb_research/1156
https://ink.library.smu.edu.sg/context/lkcsb_research/article/2155/viewcontent/PennyPricing_2004_av.pdf
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Institution: Singapore Management University
Language: English