Penny Pricing and the Components of Spread and Depth Changes

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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書目詳細資料
Main Authors:	DING, David K., Chuang, K.H., Chearoenwong, C.
格式:	text
語言:	English
出版:	Institutional Knowledge at Singapore Management University 2004
主題:	Binding constraint tick size stepping ahead spreads depths decimal pricing Business Finance and Financial Management Portfolio and Security Analysis
在線閱讀:	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
標簽:	添加標簽沒有標簽, 成為第一個標記此記錄!
機構:	Singapore Management University
語言:	English

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