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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| المؤلفون الرئيسيون: | , , |
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| التنسيق: | text |
| اللغة: | English |
| منشور في: |
Institutional Knowledge at Singapore Management University
2004
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| الموضوعات: | |
| الوصول للمادة أونلاين: | 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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