Journal ArticleDOI
The Impact of Decimalization on Market Quality: An Empirical Investigation of the Toronto Stock Exchange
TLDR
In this paper, the authors address the "decimalization" debate, i.e., whether trading on cent ticks rather than fractions of a dollar reduces trading costs without diminishing liquidity.About:
This article is published in Journal of Financial Intermediation.The article was published on 1997-04-01. It has received 167 citations till now. The article focuses on the topics: Tick size & Market liquidity.read more
Citations
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Journal ArticleDOI
Transparency and Liquidity: A Controlled Experiment on Corporate Bonds
TL;DR: In this paper, the impact of last-sale trade reporting on the liquidity of BBB corporate bonds has been investigated and it is shown that increased transparency has either a neutral or positive effect on market liquidity depending on trade size.
Journal ArticleDOI
Transparency and Liquidity: A Controlled Experiment on Corporate Bonds
TL;DR: In this paper, the authors report the results of an experiment designed to assess the impact of last-ale trade reporting on the liquidity of BBB corporate bonds and find that adding transparency has either a neutral or a positive effect on liquidity.
Journal ArticleDOI
Eighths, sixteenths, and market depth: changes in tick size and liquidity provision on the NYSE ☆
TL;DR: In this paper, the authors investigated the impact of reducing the minimum tick size on the liquidity of the market using limit order data provided by the NYSE and found that the combined effect of smaller spreads and reduced cumulative limit order book depth has made liquidity demanders trading small orders better.
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Equilibrium in a Dynamic Limit Order Market
TL;DR: In this article, a dynamic limit order market is modeled as a stochastic sequential game, and an algorithm based on Pakes and McGuire (2001) is proposed to find a stationary Markov-perfect equilibrium.
Journal ArticleDOI
Equilibrium in a Dynamic Limit Order Market
TL;DR: In this paper, a dynamic limit order market is modeled as a stochastic sequential game with rational traders and an algorithm based on Pakes and McGuire (2001) is proposed to find a stationary Markov-perfect equilibrium.
References
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Journal ArticleDOI
A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
TL;DR: In this article, a parameter covariance matrix estimator which is consistent even when the disturbances of a linear regression model are heteroskedastic is presented, which does not depend on a formal model of the structure of the heteroSkewedness.
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An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse
TL;DR: In this article, the authors studied the Paris Bourse's limit order market and the interaction between the order book and order flow, showing that order flow is concentrated near the quote, while the depth of the book is somewhat larger at nearby valuations.
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Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE
Roger D. Huang,Hans R. Stoll +1 more
TL;DR: The difference in execution costs between NASDAQ and NYSE stocks is not due to adverse information, in market depth, or in the frequency of even-eighth quotes, but rather due to internalization and preferencing of order flow and the presence of alternative interdealer trading systems.
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Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis
TL;DR: For example, the authors show that wide spreads are accompanied by low depths, and that spreads widen and depths fall in response to higher volume on the New York Stock Exchange (NSE).
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An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks
Thomas H. McInish,Robert A. Wood +1 more
TL;DR: Schwartz et al. as discussed by the authors examined the behavior of time-weighted bid-ask spreads over the trading day and found that spreads are higher at the beginning and end of the day relative to the interior period.