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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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2004
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| 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 |