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Price rounding and bid-ask spreads before and after the decimalization

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  • He, Yan
  • Wu, Chunchi

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  • He, Yan & Wu, Chunchi, 2004. "Price rounding and bid-ask spreads before and after the decimalization," International Review of Economics & Finance, Elsevier, vol. 13(1), pages 19-41.
    • Handle: RePEc:eee:reveco:v:13:y:2004:i:1:p:19-41
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    References listed on IDEAS

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    1. Aitken, Michael & Brown, Philip & Buckland, Christine & Izan, H. Y. & Walter, Terry, 1996. "Price clustering on the Australian Stock Exchange," Pacific-Basin Finance Journal, Elsevier, vol. 4(2-3), pages 297-314, July.
    2. Grossman, Sanford J & Miller, Merton H & Cone, Kenneth R & Fischel, Daniel R & Ross, David J, 1997. "Clustering and Competition in Asset Markets," Journal of Law and Economics, University of Chicago Press, vol. 40(1), pages 23-60, April.
    3. Bacidore, Jeffrey M., 1997. "The Impact of Decimalization on Market Quality: An Empirical Investigation of the Toronto Stock Exchange," Journal of Financial Intermediation, Elsevier, vol. 6(2), pages 92-120, April.
    4. Angel, James J, 1997. "Tick Size, Share Prices, and Stock Splits," Journal of Finance, American Finance Association, vol. 52(2), pages 655-681, June.
    5. Ahn, Hee-Joon & Cao, Charles Q. & Choe, Hyuk, 1998. "Decimalization and competition among stock markets: Evidence from the Toronto Stock Exchange cross-listed securities," Journal of Financial Markets, Elsevier, vol. 1(1), pages 51-87, April.
    6. Harris, Lawrence E, 1994. "Minimum Price Variations, Discrete Bid-Ask Spreads, and Quotation Sizes," The Review of Financial Studies, Society for Financial Studies, vol. 7(1), pages 149-178.
    7. Bessembinder, Hendrik, 1997. "The degree of price resolution and equity trading costs," Journal of Financial Economics, Elsevier, vol. 45(1), pages 9-34, July.
    8. Harris, Lawrence, 1991. "Stock Price Clustering and Discreteness," The Review of Financial Studies, Society for Financial Studies, vol. 4(3), pages 389-415.
    9. M. F. M. Osborne, 1962. "Periodic Structure in the Brownian Motion of Stock Prices," Operations Research, INFORMS, vol. 10(3), pages 345-379, June.
    10. Koch, Alexander K. & Lazarov, Zdravetz, 2001. "Clustering of Trading Activity in the DAX Index Options Market," Bonn Econ Discussion Papers 30/2001, University of Bonn, Bonn Graduate School of Economics (BGSE).
    11. Bessembinder, Hendrik, 2003. "Trade Execution Costs and Market Quality after Decimalization," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 38(4), pages 747-777, December.
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