Penny Pricing and the Components of Spread and Depth Changes

• المؤلفون الرئيسيون: DING, David K., Chuang, K.H., Chearoenwong, C.
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2004
• الموضوعات: Binding constraint; tick size; stepping ahead; spreads; depths; decimal pricing; Business; Finance and Financial Management; Portfolio and Security Analysis
• 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

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...