Timing of tick size reduction: Threshold and smooth transition model analysis
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DOI: 10.1016/j.frl.2021.102142
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More about this item
Keywords
Tick size reduction; Tokyo stock exchange; Liquidity; Trading volume; Threshold autoregressive model; Logistic smooth transition autoregressive model;All these keywords.
JEL classification:
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
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