IDEAS home Printed from https://ideas.repec.org/r/cup/jfinqa/v38y2003i04p747-777_00.html
   My bibliography  Save this item

Trade Execution Costs and Market Quality after Decimalization

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Harald Hau, 2006. "The Role of Transaction Costs for Financial Volatility: Evidence from the Paris Bourse," Journal of the European Economic Association, MIT Press, vol. 4(4), pages 862-890, June.
  2. Jin-Huei Yeh & Jying-Nan Wang & Chung-Ming Kuan, 2014. "A noise-robust estimator of volatility based on interquantile ranges," Review of Quantitative Finance and Accounting, Springer, vol. 43(4), pages 751-779, November.
  3. Plott, Charles & Roll, Richard & Seo, Han & Zhao, Hao, 2019. "Tick size, price grids and market performance: Stable matches as a model of market dynamics and equilibrium," Games and Economic Behavior, Elsevier, vol. 118(C), pages 7-28.
  4. Kathleen Fuller & Bonnie Ness & Robert Ness, 2010. "Is information risk priced for NASDAQ-listed stocks?," Review of Quantitative Finance and Accounting, Springer, vol. 34(3), pages 301-312, April.
  5. Brogaard, Jonathan & Li, Dan & Xia, Ying, 2017. "Stock liquidity and default risk," Journal of Financial Economics, Elsevier, vol. 124(3), pages 486-502.
  6. Paolo Pasquariello & Clara Vega, 2015. "Strategic Cross-Trading in the U.S. Stock Market," Review of Finance, European Finance Association, vol. 19(1), pages 229-282.
  7. Martinez, Valeria & Tse, Yiuman, 2019. "The impact of tick-size reductions in foreign currency futures markets," Finance Research Letters, Elsevier, vol. 28(C), pages 32-38.
  8. Fabisik, Kornelia & Fahlenbrach, Rüdiger & Stulz, René M. & Taillard, Jérôme P., 2021. "Why are firms with more managerial ownership worth less?," Journal of Financial Economics, Elsevier, vol. 140(3), pages 699-725.
  9. Fang, Vivian W. & Noe, Thomas H. & Tice, Sheri, 2009. "Stock market liquidity and firm value," Journal of Financial Economics, Elsevier, vol. 94(1), pages 150-169, October.
  10. Coskun, Yener & Cetin, Muge, 2018. "Menkul Kiymet Borsalarinda Pi̇yasa Mi̇kro Yapisi: Tasarim Ve Ri̇skler [STOCK EXCHANGE MICROSTRUCTURE: DESIGN and RISKS]," MPRA Paper 105590, University Library of Munich, Germany.
  11. Pankaj K. Jain & Jang‐Chul Kim, 2006. "Investor Recognition, Liquidity, and Exchange Listings in the Reformed Markets," Financial Management, Financial Management Association International, vol. 35(2), pages 21-42, June.
  12. Uwe Helmes & Julia Henker & Thomas Henker & Tom Smith, 2017. "Effect of the ban on short selling on market prices and volatility," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 57(3), pages 727-757, September.
  13. Ye, Mao & Zheng, Miles Y. & Zhu, Wei, 2023. "The effect of tick size on managerial learning from stock prices," Journal of Accounting and Economics, Elsevier, vol. 75(1).
  14. O'Hara, Maureen & Ye, Mao, 2011. "Is market fragmentation harming market quality?," Journal of Financial Economics, Elsevier, vol. 100(3), pages 459-474, June.
  15. repec:aly:journl:202068 is not listed on IDEAS
  16. Degryse, Hans & Van Achter, Mark & Wuyts, Gunther, 2009. "Dynamic order submission strategies with competition between a dealer market and a crossing network," Journal of Financial Economics, Elsevier, vol. 91(3), pages 319-338, March.
  17. Yan He & Hai Lin & Chunchi Wu & Uric B. Dufrene, 2013. "The 2000 presidential election and the information cost of sensitive versus," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
  18. He, Yan & Lin, Hai & Wu, Chunchi & Dufrene, Uric B., 2009. "The 2000 presidential election and the information cost of sensitive versus non-sensitive S&P 500 stocks," Journal of Financial Markets, Elsevier, vol. 12(1), pages 54-86, February.
  19. Carrion, Allen, 2013. "Very fast money: High-frequency trading on the NASDAQ," Journal of Financial Markets, Elsevier, vol. 16(4), pages 680-711.
  20. Sergio Bianchi & Massimiliano Frezza, 2018. "Liquidity, Efficiency and the 2007-2008 Global Financial Crisis," Annals of Economics and Finance, Society for AEF, vol. 19(2), pages 375-404, November.
  21. William Hardin & Kartono Liano & Gow-Cheng Huang & Gregory Nagel, 2007. "REITs, Decimalization, and Ex-dividend Stock Prices," The Journal of Real Estate Finance and Economics, Springer, vol. 34(4), pages 499-511, May.
  22. Portniaguina, Evgenia & Bernhardt, Dan & Hughson, Eric, 2006. "Hybrid markets, tick size and investor trading costs," Journal of Financial Markets, Elsevier, vol. 9(4), pages 433-447, November.
  23. He, Chen & Odders-White, Elizabeth & Ready, Mark J., 2006. "The impact of preferencing on execution quality," Journal of Financial Markets, Elsevier, vol. 9(3), pages 246-273, August.
  24. Garvey, Ryan & Wu, Fei, 2009. "Intraday time and order execution quality dimensions," Journal of Financial Markets, Elsevier, vol. 12(2), pages 203-228, May.
  25. Marshall, Ben R. & Nguyen, Justin Hung & Nguyen, Nhut H. & Visaltanachoti, Nuttawat, 2021. "Does a change in the information environment affect labor adjustment costs?," International Review of Financial Analysis, Elsevier, vol. 74(C).
  26. Nielsson, Ulf, 2009. "Stock exchange merger and liquidity: The case of Euronext," Journal of Financial Markets, Elsevier, vol. 12(2), pages 229-267, May.
  27. Chelley-Steeley, Patricia L. & Lambertides, Neophytos & Steeley, James M., 2016. "Explaining turn of the year order flow imbalance," International Review of Financial Analysis, Elsevier, vol. 43(C), pages 76-95.
  28. Lakshay Chauhan & John Alberg & Zachary C. Lipton, 2020. "Uncertainty-Aware Lookahead Factor Models for Quantitative Investing," Papers 2007.04082, arXiv.org, revised Jul 2020.
  29. Park, Jong-Ho & Binh, Ki Beom & Eom, Kyong Shik, 2016. "The effect of listing switches from a growth market to a main board: An alternative perspective," Emerging Markets Review, Elsevier, vol. 29(C), pages 246-273.
  30. Blau, Benjamin M., 2018. "Does religiosity affect liquidity in financial markets?," Journal of Behavioral and Experimental Finance, Elsevier, vol. 19(C), pages 72-83.
  31. Alan Chow & Kyre Dane Lahtinen & Chris Lawrey, 2021. "The Investors Exchange’s (IEX) impact on investors," Journal of Asset Management, Palgrave Macmillan, vol. 22(1), pages 51-61, February.
  32. Blau, Benjamin M. & Griffith, Todd G. & Whitby, Ryan J., 2018. "The maximum bid-ask spread," Journal of Financial Markets, Elsevier, vol. 41(C), pages 1-16.
  33. Michaely, Roni & Qian, Meijun, 2022. "Does stock market liquidity affect dividends?," Pacific-Basin Finance Journal, Elsevier, vol. 74(C).
  34. Doureige J. Jurdi, 2020. "Intraday Jumps, Liquidity, and U.S. Macroeconomic News: Evidence from Exchange Traded Funds," JRFM, MDPI, vol. 13(6), pages 1-19, June.
  35. Chang, Eric C. & Lin, Tse-Chun & Ma, Xiaorong, 2020. "Governance through trading on acquisitions of public firms," Journal of Corporate Finance, Elsevier, vol. 65(C).
  36. Marco Wölfle, 2015. "Information-Based Trade in German Real Estate and Equity Markets," Risks, MDPI, vol. 3(4), pages 1-26, December.
  37. Mariassunta Giannetti & Xiaoyun Yu, 2021. "Adapting to Radical Change: The Benefits of Short-Horizon Investors," Management Science, INFORMS, vol. 67(7), pages 4032-4055, July.
  38. Vuorenmaa, Tommi A., 2008. "Decimalization, Realized Volatility, and Market Microstructure Noise," MPRA Paper 8692, University Library of Munich, Germany.
  39. Blau, Benjamin M., 2018. "Exchange rate volatility and the stability of stock prices," International Review of Economics & Finance, Elsevier, vol. 58(C), pages 299-311.
  40. Jiang, Christine X. & Kim, Jang-Chul & Wood, Robert A., 2009. "Adverse selection costs for NASDAQ and NYSE after decimalization," International Review of Financial Analysis, Elsevier, vol. 18(4), pages 205-211, September.
  41. Allen, Franklin & Haas, Marlene D. & Nowak, Eric & Tengulov, Angel, 2021. "Market efficiency and limits to arbitrage: Evidence from the Volkswagen short squeeze," Journal of Financial Economics, Elsevier, vol. 142(1), pages 166-194.
  42. Bardong, Florian & Bartram, Söhnke M. & Yadav, Pradeep K., 2005. "Informed Trading, Information Asymmetry and Pricing of Information Risk: Empirical Evidence from the NYSE," MPRA Paper 13586, University Library of Munich, Germany, revised 10 Oct 2008.
  43. Hagströmer, Björn, 2021. "Bias in the effective bid-ask spread," Journal of Financial Economics, Elsevier, vol. 142(1), pages 314-337.
  44. Robert P. Bartlett & Justin McCrary, 2020. "Subsidizing Liquidity with Wider Ticks: Evidence from the Tick Size Pilot Study," Journal of Empirical Legal Studies, John Wiley & Sons, vol. 17(2), pages 262-316, June.
  45. Cowan, Arnold R. & Salotti, Valentina, 2020. "Anti-selective disclosure regulation and analyst forecast accuracy and usefulness," Journal of Corporate Finance, Elsevier, vol. 64(C).
  46. Huang, Sheng & Maharjan, Johan & Nanda, Vikram, 2024. "Liquid stock as an acquisition currency," Journal of Corporate Finance, Elsevier, vol. 85(C).
  47. Oliver Linton & Soheil Mahmoodzadeh, 2018. "Implications of High-Frequency Trading for Security Markets," Annual Review of Economics, Annual Reviews, vol. 10(1), pages 237-259, August.
  48. Asparouhova, Elena & Bessembinder, Hendrik & Kalcheva, Ivalina, 2010. "Liquidity biases in asset pricing tests," Journal of Financial Economics, Elsevier, vol. 96(2), pages 215-237, May.
  49. Tse-Chun Lin & Qi Liu & Bo Sun, 2015. "Contracting with Feedback," International Finance Discussion Papers 1143, Board of Governors of the Federal Reserve System (U.S.).
  50. Buti, Sabrina & Rindi, Barbara & Wen, Yuanji & Werner, Ingrid M., 2013. "Tick Size Regulation and Sub-Penny Trading," Working Paper Series 2013-14, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  51. Bardos, Katsiaryna Salavei, 2011. "Quality of financial information and liquidity," Review of Financial Economics, Elsevier, vol. 20(2), pages 49-62, May.
  52. Bams, Dennis & Honarvar, Iman, 2021. "VIX and liquidity premium," International Review of Financial Analysis, Elsevier, vol. 74(C).
  53. Dyakov, Teodor & Verbeek, Marno, 2013. "Front-running of mutual fund fire-sales," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 4931-4942.
  54. Jiang, George J. & Shimizu, Yoshiki & Strong, Cuyler, 2022. "Back to the futures: When short selling is banned," Journal of Financial Markets, Elsevier, vol. 61(C).
  55. Paul Asquith & Rebecca Oman & Christopher Safaya, 2008. "Short Sales and Trade Classification Algorithms," NBER Working Papers 14158, National Bureau of Economic Research, Inc.
  56. Debarati Bhattacharya & Wei-Hsien Li & Gokhan Sonaer, 2017. "Has momentum lost its momentum?," Review of Quantitative Finance and Accounting, Springer, vol. 48(1), pages 191-218, January.
  57. Chordia, Tarun & Roll, Richard & Subrahmanyam, Avanidhar, 2011. "Recent trends in trading activity and market quality," Journal of Financial Economics, Elsevier, vol. 101(2), pages 243-263, August.
  58. Markku Lanne & Timo Vesala, 2010. "The effect of a transaction tax on exchange rate volatility," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 15(2), pages 123-133.
  59. Saraoglu, Hakan & Louton, David & Holowczak, Richard, 2014. "Institutional impact and quote behavior implications of the options penny pilot project," The Quarterly Review of Economics and Finance, Elsevier, vol. 54(4), pages 473-486.
  60. Siegmann, Arjen & Stefanova, Denitsa, 2017. "The evolving beta-liquidity relationship of hedge funds," Journal of Empirical Finance, Elsevier, vol. 44(C), pages 286-303.
  61. Flannery, Mark J. & Kwan, Simon H. & Nimalendran, Mahendrarajah, 2013. "The 2007–2009 financial crisis and bank opaqueness," Journal of Financial Intermediation, Elsevier, vol. 22(1), pages 55-84.
  62. Chakravarty, Sugato & Panchapagesan, Venkatesh & Wood, Robert A., 2005. "Did decimalization hurt institutional investors?," Journal of Financial Markets, Elsevier, vol. 8(4), pages 400-420, November.
  63. Thu Phuong Pham, 2015. "Broker ID transparency and price impact of trades: evidence from the Korean Exchange," International Journal of Managerial Finance, Emerald Group Publishing Limited, vol. 11(1), pages 117-131, February.
  64. Salomonsson, Marcus, 2009. "Introducing a spread into the Kyle model," SSE/EFI Working Paper Series in Economics and Finance 713, Stockholm School of Economics.
  65. Mahmoodzadeh, Soheil & Gençay, Ramazan, 2017. "Human vs. high-frequency traders, penny jumping, and tick size," Journal of Banking & Finance, Elsevier, vol. 85(C), pages 69-82.
  66. Thanos Verousis & Pietro Perotti & Georgios Sermpinis, 2018. "One size fits all? High frequency trading, tick size changes and the implications for exchanges: market quality and market structure considerations," Review of Quantitative Finance and Accounting, Springer, vol. 50(2), pages 353-392, February.
  67. Benjamin M. Blau & Ryan J. Whitby, 2015. "The Volatility of Bid-Ask Spreads," Financial Management, Financial Management Association International, vol. 44(4), pages 851-874, October.
  68. Nyborg, Kjell G. & Wang, Zexi, 2021. "The effect of stock liquidity on cash holdings: The repurchase motive," Journal of Financial Economics, Elsevier, vol. 142(2), pages 905-927.
  69. Panayides, Marios A., 2007. "Affirmative obligations and market making with inventory," Journal of Financial Economics, Elsevier, vol. 86(2), pages 513-542, November.
  70. Bonnie F. Van Ness & Robert A. Van Ness & Richard S. Warr, 2005. "Nasdaq Trading and Trading Costs: 1993–2002," The Financial Review, Eastern Finance Association, vol. 40(3), pages 281-304, August.
  71. Moriyasu, Hiroshi & Wee, Marvin & Yu, Jing, 2018. "The role of algorithmic trading in stock liquidity and commonality in electronic limit order markets," Pacific-Basin Finance Journal, Elsevier, vol. 49(C), pages 103-128.
  72. He, Yan & Wang, Junbo & Wu, Chunchi, 2013. "Domestic versus foreign equity shares: Which are more costly to trade in the Chinese market?," International Review of Economics & Finance, Elsevier, vol. 27(C), pages 465-481.
  73. Kathryn L Dewenter & Xi Han & Jennifer L Koski, 2018. "Who Wins When Exchanges Compete?* Evidence from Competition after Euro Conversion [Equity returns and integration: is Europe changing?]," Review of Finance, European Finance Association, vol. 22(6), pages 2037-2071.
  74. Peress, Joël & Dong, Xi & KANG, NAMHO, 2020. "Fast and Slow Arbitrage: Fund Flows and Mispricing in the Frequency Domain," CEPR Discussion Papers 15235, C.E.P.R. Discussion Papers.
  75. Grimstvedt Meling, Tom, 2017. "Anonymous trading in equities," Working Papers in Economics 7/17, University of Bergen, Department of Economics.
  76. Rösch, Dominik M. & Subrahmanyam, Avanidhar & van Dijk, Mathijs A., 2022. "Investor short-termism and real investment," Journal of Financial Markets, Elsevier, vol. 59(PB).
  77. repec:wyi:journl:002085 is not listed on IDEAS
  78. Christine Jiang & Jang-Chul Kim & Robert Wood, 2011. "A comparison of volatility and bid-ask spread for NASDAQ and NYSE after decimalization," Applied Economics, Taylor & Francis Journals, vol. 43(10), pages 1227-1239.
  79. Comerton-Forde, Carole & Malinova, Katya & Park, Andreas, 2018. "Regulating dark trading: Order flow segmentation and market quality," Journal of Financial Economics, Elsevier, vol. 130(2), pages 347-366.
  80. Biais, Bruno & Glosten, Larry & Spatt, Chester, 2005. "Market microstructure: A survey of microfoundations, empirical results, and policy implications," Journal of Financial Markets, Elsevier, vol. 8(2), pages 217-264, May.
  81. Yamamoto, Ryuichi, 2020. "Limit order submission risks, order choice, and tick size," Pacific-Basin Finance Journal, Elsevier, vol. 59(C).
  82. Chung, Kee H. & Chuwonganant, Chairat, 2007. "Quote-based competition, market share, and execution quality in NASDAQ-listed securities," Journal of Banking & Finance, Elsevier, vol. 31(9), pages 2770-2795, September.
  83. Chung, Kee H. & Zhang, Hao, 2014. "A simple approximation of intraday spreads using daily data," Journal of Financial Markets, Elsevier, vol. 17(C), pages 94-120.
  84. Azi Ben-Rephael & Ryan D Israelsen, 2018. "Are Some Clients More Equal Than Others? An Analysis of Asset Management Companies’ Execution Costs [An analysis of trade-size clustering and its relation to stealth trading]," Review of Finance, European Finance Association, vol. 22(5), pages 1705-1736.
  85. Chung, Kee H. & Chuwonganant, Chairat & McCormick, D. Timothy, 2004. "Order preferencing and market quality on NASDAQ before and after decimalization," Journal of Financial Economics, Elsevier, vol. 71(3), pages 581-612, March.
  86. Ravi Kashyap, 2016. "A Tale of Two Consequences: Intended and Unintended Outcomes of the Japan TOPIX Tick Size Changes," Papers 1602.00839, arXiv.org, revised Jul 2019.
  87. Armanious, Amir & Zhao, Ruoyun, 2024. "Stock liquidity effect on leverage: The role of debt security, financial constraint, and risk around the global financial crisis and Covid-19 pandemic," International Review of Financial Analysis, Elsevier, vol. 92(C).
  88. Bidisha Chakrabarty & Zhaohui Han & Konstantin Tyurin & Xiaoyong Zheng, 2006. "A Competing Risk Analysis of Executions and Cancellations in a Limit Order Market," CAEPR Working Papers 2006-015, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
  89. Amini, Shima & Buchner, Axel & Cai, Charlie X. & Mohamed, Abdulkadir, 2020. "Why do firms manage their stock price levels?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 67(C).
  90. Shynkevich, Andrei, 2012. "Short-term predictability of equity returns along two style dimensions," Journal of Empirical Finance, Elsevier, vol. 19(5), pages 675-685.
  91. Craig H. Furfine, 2003. "Decimalization and market liquidity," Economic Perspectives, Federal Reserve Bank of Chicago, vol. 27(Q IV), pages 2-12.
  92. Eaton, Gregory W. & Irvine, Paul J. & Liu, Tingting, 2021. "Measuring institutional trading costs and the implications for finance research: The case of tick size reductions," Journal of Financial Economics, Elsevier, vol. 139(3), pages 832-851.
  93. Cole, Brittany M. & Gullett, Nell S. Gullett, 2024. "The Value of Corporate Bond Listing," MPRA Paper 120601, University Library of Munich, Germany, revised 27 Mar 2024.
  94. Xiao, Xijuan & Yamamoto, Ryuichi, 2024. "Realized volatility, price informativeness, and tick size: A market microstructure approach," International Review of Economics & Finance, Elsevier, vol. 89(PA), pages 410-426.
  95. Albuquerque, Rui & Song, Shiyun & Yao, Chen, 2017. "The Price Effects of Liquidity Shocks: A Study of SEC’s Tick-Size Experiment," CEPR Discussion Papers 12486, C.E.P.R. Discussion Papers.
  96. Dyl, Edward A. & Yuksel, H. Zafer & Zaynutdinova, Gulnara R., 2019. "Price reversals and price continuations following large price movements," Journal of Business Research, Elsevier, vol. 95(C), pages 1-12.
  97. Bill Francis & Iftekhar Hasan & Suresh Babu Mani & An Yan, 2016. "Externality of Stock Liquidity to the Cost of Borrowing," BAFFI CAREFIN Working Papers 1642, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
  98. Chung, Kee H. & Chuwonganant, Chairat & Jiang, Jing, 2008. "The dynamics of quote adjustments," Journal of Banking & Finance, Elsevier, vol. 32(11), pages 2390-2400, November.
  99. Nyborg, Kjell & Wang, Zexi, 2013. "Stock Liquidity and Corporate Cash Holdings," CEPR Discussion Papers 9535, C.E.P.R. Discussion Papers.
  100. Cheung, William Mingyan & Chung, Richard & Fung, Scott, 2015. "The effects of stock liquidity on firm value and corporate governance: Endogeneity and the REIT experiment," Journal of Corporate Finance, Elsevier, vol. 35(C), pages 211-231.
  101. Zreik, Ousayna & Louhichi, Waël, 2017. "Risk sentiment and firms’ liquidity in the French market," Research in International Business and Finance, Elsevier, vol. 39(PB), pages 809-823.
  102. Francis, Jennifer & Nanda, Dhananjay & Wang, Xin, 2006. "Re-examining the effects of regulation fair disclosure using foreign listed firms to control for concurrent shocks," Journal of Accounting and Economics, Elsevier, vol. 41(3), pages 271-292, September.
  103. Alex Edmans & Vivian W. Fang & Emanuel Zur, 2013. "The Effect of Liquidity on Governance," The Review of Financial Studies, Society for Financial Studies, vol. 26(6), pages 1443-1482.
  104. Mike Derksen & Bas Kleijn & Robin de Vilder, 2020. "Effects of MiFID II on stock price formation," Papers 2003.10353, arXiv.org, revised Aug 2020.
  105. Elliott, William B. & Songur, Hilmi, 2016. "The role of arbitrage risk on the elasticity of demand: New evidence from 100% secondary equity offerings," Finance Research Letters, Elsevier, vol. 19(C), pages 165-172.
  106. Sifat, Imtiaz Mohammad & Mohamad, Azhar, 2015. "Order imbalance and selling aggression under a shorting ban: Evidence from the UK," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 368-379.
  107. Asquith, Paul & Oman, Rebecca & Safaya, Christopher, 2010. "Short sales and trade classification algorithms," Journal of Financial Markets, Elsevier, vol. 13(1), pages 157-173, February.
  108. Yinfei Chen & Wei Huang & George J. Jiang, 2022. "Do short‐term institutions exploit stock return anomalies?," The Financial Review, Eastern Finance Association, vol. 57(1), pages 69-94, February.
  109. Hung, Pi-Hsia & Lien, Donald, 2019. "Trading aggressiveness, order execution quality, and stock price movements: Evidence from the Taiwan stock exchange," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 60(C), pages 231-251.
  110. Chen, Yong & Eaton, Gregory W. & Paye, Bradley S., 2018. "Micro(structure) before macro? The predictive power of aggregate illiquidity for stock returns and economic activity," Journal of Financial Economics, Elsevier, vol. 130(1), pages 48-73.
  111. Doan, Bao & Vo, Duc Hong, 2021. "Is there any information content of traded stocks in an emerging market? Evidence from Vietnam," International Economics, Elsevier, vol. 167(C), pages 78-87.
  112. Griffith, Todd G. & Roseman, Brian S., 2019. "Making cents of tick sizes: The effect of the 2016 U.S. SEC tick size pilot on limit order book liquidity," Journal of Banking & Finance, Elsevier, vol. 101(C), pages 104-121.
  113. José Yagüe & J. Gómez-Sala, 2005. "Price and tick size preferences in trading activity changes around stock split executions," Spanish Economic Review, Springer;Spanish Economic Association, vol. 7(2), pages 111-138, June.
  114. Harold Mulherin, J., 2007. "Measuring the costs and benefits of regulation: Conceptual issues in securities markets," Journal of Corporate Finance, Elsevier, vol. 13(2-3), pages 421-437, June.
  115. Zhenhua Chen & Adrienna Huffman & Gans Narayanamoorthy & Ruizhong Zhang, 2021. "Minimum tick size and analyst coverage: Evidence from the Tick Size Pilot Program," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 48(3-4), pages 666-691, March.
  116. Nyborg, Kjell & Wang, Zexi, 2019. "Corporate cash holdings: Stock liquidity and the repurchase motive," CEPR Discussion Papers 13791, C.E.P.R. Discussion Papers.
  117. Rubesam, Alexandre, 2022. "Machine learning portfolios with equal risk contributions: Evidence from the Brazilian market," Emerging Markets Review, Elsevier, vol. 51(PB).
  118. Stefan Nagel, 2012. "Evaporating Liquidity," The Review of Financial Studies, Society for Financial Studies, vol. 25(7), pages 2005-2039.
  119. Li, Xiongshi & Ye, Mao & Zheng, Miles, 2024. "Price ceilings, market structure, and payout policies," Journal of Financial Economics, Elsevier, vol. 155(C).
  120. Patricia Chelley‐Steeley & Neophytos Lambertides & Christos S. Savva, 2019. "Sentiment, order imbalance, and co‐movement: An examination of shocks to retail and institutional trading activity," European Financial Management, European Financial Management Association, vol. 25(1), pages 116-159, January.
  121. Tom Grimstvedt Meling, 2021. "Anonymous Trading in Equities," Journal of Finance, American Finance Association, vol. 76(2), pages 707-754, April.
  122. Boulatov, Alex & Hatch, Brian C. & Johnson, Shane A. & Lei, Adam Y.C., 2009. "Dealer attention, the speed of quote adjustment to information, and net dealer revenue," Journal of Banking & Finance, Elsevier, vol. 33(8), pages 1531-1542, August.
  123. Ingrid M. Werner & Barbara Rindi & Sabrina Buti & Yuanji Wen, 2023. "Tick Size, Trading Strategies, and Market Quality," Management Science, INFORMS, vol. 69(7), pages 3818-3837, July.
  124. Anchada Charoenrook & Craig M. Lewis, 2009. "Information, Selective Disclosure, and Analyst Behavior," Financial Management, Financial Management Association International, vol. 38(1), pages 39-57, March.
  125. Davies, Ryan J. & Kim, Sang Soo, 2009. "Using matched samples to test for differences in trade execution costs," Journal of Financial Markets, Elsevier, vol. 12(2), pages 173-202, May.
  126. Degryse, Hans & Karagiannis, Nikolaos, 2019. "Priority Rules," CEPR Discussion Papers 14127, C.E.P.R. Discussion Papers.
  127. Boehmer, Ekkehart, 2005. "Dimensions of execution quality: Recent evidence for US equity markets," Journal of Financial Economics, Elsevier, vol. 78(3), pages 553-582, December.
  128. Chen, Linda H. & Dyl, Edward A. & Jiang, George J. & Juneja, Januj A., 2015. "Risk, illiquidity or marketability: What matters for the discounts on private equity placements?," Journal of Banking & Finance, Elsevier, vol. 57(C), pages 41-50.
  129. Suchismita Mishra & Le Zhao, 2021. "Order Routing Decisions for a Fragmented Market: A Review," JRFM, MDPI, vol. 14(11), pages 1-32, November.
  130. Ee, Mong Shan & Hasan, Iftekhar & Huang, He, 2022. "Stock liquidity and corporate labor investment," Journal of Corporate Finance, Elsevier, vol. 72(C).
  131. Lepone, Andrew & Wong, Jin Boon, 2017. "Pseudo market-makers, market quality and the minimum tick size," International Review of Economics & Finance, Elsevier, vol. 47(C), pages 88-100.
  132. Collver, Charles D., 2007. "Is there less informed trading after regulation fair disclosure?," Journal of Corporate Finance, Elsevier, vol. 13(2-3), pages 270-281, June.
  133. Murray, Hamish & Pham, Thu Phuong & Singh, Harminder, 2016. "Latency reduction and market quality: The case of the Australian Stock Exchange," International Review of Financial Analysis, Elsevier, vol. 46(C), pages 257-265.
  134. Kaul, Aditya & Sapp, Stephen, 2009. "Trading activity, dealer concentration and foreign exchange market quality," Journal of Banking & Finance, Elsevier, vol. 33(11), pages 2122-2131, November.
  135. Ahmed Baig & Benjamin M. Blau & Todd G. Griffith, 2021. "Firm Opacity and the Clustering of Stock Prices: the Case of Financial Intermediaries," Journal of Financial Services Research, Springer;Western Finance Association, vol. 60(2), pages 187-206, December.
  136. Bessembinder, Hendrik & Venkataraman, Kumar, 2004. "Does an electronic stock exchange need an upstairs market?," Journal of Financial Economics, Elsevier, vol. 73(1), pages 3-36, July.
  137. Angelidis, Timotheos & Tessaromatis, Nikolaos, 2023. "The disappearing profitability of volatility-managed equity factors," Journal of Financial Markets, Elsevier, vol. 65(C).
  138. Chelley-Steeley, Patricia L. & Lambertides, Neophytos & Steeley, James M., 2015. "The effects of non-trading on the illiquidity ratio," Journal of Empirical Finance, Elsevier, vol. 34(C), pages 204-228.
  139. Kiril Alampieski & Andrew Lepone, 2009. "Impact of a tick size reduction on liquidity: evidence from the Sydney Futures Exchange," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 49(1), pages 1-20, March.
  140. Chordia, Tarun & Roll, Richard & Subrahmanyam, Avanidhar, 2008. "Liquidity and market efficiency," Journal of Financial Economics, Elsevier, vol. 87(2), pages 249-268, February.
  141. Ryan Garvey & Tao Huang & Fei Wu, 2021. "Is faster or slower trading better? An examination of order type execution speed and costs," European Financial Management, European Financial Management Association, vol. 27(2), pages 326-363, March.
  142. Bartley R. Danielsen & Robert A. Van Ness & Richard S. Warr, 2009. "Single Stock Futures as a Substitute for Short Sales: Evidence from Microstructure Data," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 36(9-10), pages 1273-1293.
  143. Petacchi, Reining, 2015. "Information asymmetry and capital structure: Evidence from regulation FD," Journal of Accounting and Economics, Elsevier, vol. 59(2), pages 143-162.
  144. Murphy Jun Jie Lee, 2013. "The Microstructure of Trading Processes on the Singapore Exchange," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2013, January-A.
  145. Hsieh, Tsung-Han & Li, Youwei & McKillop, Donal G. & Wu, Yuliang, 2018. "Liquidity skewness in the London Stock Exchange," International Review of Financial Analysis, Elsevier, vol. 56(C), pages 12-18.
  146. Blau, Benjamin M. & Van Ness, Bonnie F. & Van Ness, Robert A., 2011. "Information in short selling: Comparing Nasdaq and the NYSE," Review of Financial Economics, Elsevier, vol. 20(1), pages 1-10, January.
  147. Albuquerque, Rui & Song, Shiyun & Yao, Chen, 2020. "The price effects of liquidity shocks: A study of the SEC’s tick size experiment," Journal of Financial Economics, Elsevier, vol. 138(3), pages 700-724.
  148. Zhibing Li & Jie Liu & Xiaoyu Liu & Chonglin Wu, 2024. "Investor attention and stock price efficiency: Evidence from quasi‐natural experiments in China," Financial Management, Financial Management Association International, vol. 53(1), pages 175-225, March.
  149. Faith Chin & Corey Garriott, 2016. "Options Decimalization," Staff Working Papers 16-57, Bank of Canada.
  150. Sean Foley & Tom G Meling & Bernt Arne Ødegaard, 2023. "Tick Size Wars: The Market Quality Effects of Pricing Grid Competition," Review of Finance, European Finance Association, vol. 27(2), pages 659-692.
  151. Bollen, Nicolas P. B. & Smith, Tom & Whaley, Robert E., 2004. "Modeling the bid/ask spread: measuring the inventory-holding premium," Journal of Financial Economics, Elsevier, vol. 72(1), pages 97-141, April.
  152. Chen, Jiayuan & Gong, Di & Muckley, Cal, 2020. "Stock market illiquidity, bargaining power and the cost of borrowing," Journal of Empirical Finance, Elsevier, vol. 58(C), pages 181-206.
  153. Levi, Shai & Zhang, Xiao-Jun, 2015. "Asymmetric decrease in liquidity trading before earnings announcements and the announcement return premium," Journal of Financial Economics, Elsevier, vol. 118(2), pages 383-398.
  154. Fangjian Fu & Sheng Huang, 2016. "The Persistence of Long-Run Abnormal Returns Following Stock Repurchases and Offerings," Management Science, INFORMS, vol. 62(4), pages 964-984, April.
  155. Kang Shi & Juanyi Xu, 2009. "Entry cost, the Tobin tax, and noise trading in the foreign exchange market," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 42(4), pages 1501-1526, November.
  156. Deng, Mengdie & Lin, Tse-Chun & Zhou, Jiayu, 2024. "Does better liquidity for large orders attract institutional investors and analysts? Evidence from the Tick Size Pilot Program," Journal of Financial Markets, Elsevier, vol. 67(C).
  157. Ryan Garvey & Fei Wu, 2012. "Are informed traders reluctant to bear price risk or execution risk?," International Journal of Managerial Finance, Emerald Group Publishing Limited, vol. 8(4), pages 284-303, September.
  158. Brad Bachu & Xin Wan & Ciamac C. Moallemi, 2024. "Quantifying Price Improvement in Order Flow Auctions," Papers 2405.00537, arXiv.org, revised May 2024.
  159. Xin Zhao & Kee H. Chung, 2006. "Decimal Pricing and Information‐Based Trading: Tick Size and Informational Efficiency of Asset Price," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 33(5‐6), pages 753-766, June.
  160. S. Ghon Rhee & Ning Tang, 2013. "Can quote competition reduce preferenced trading? A reexamination of the SEC’s 1997 order handling rules," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 53(1), pages 243-264, March.
  161. Szymon Stereńczak, 2021. "Minimum tick size reduction and stock liquidity: lessons from the Warsaw Stock Exchange," Bank i Kredyt, Narodowy Bank Polski, vol. 52(6), pages 545-576.
  162. Baig, Ahmed S. & Blau, Benjamin M. & Whitby, Ryan J., 2019. "Price clustering and economic freedom: The case of cross-listed securities," Journal of Multinational Financial Management, Elsevier, vol. 50(C), pages 1-12.
  163. Quan Gan & Wang Chun Wei & David Johnstone, 2015. "A faster estimation method for the probability of informed trading using hierarchical agglomerative clustering," Quantitative Finance, Taylor & Francis Journals, vol. 15(11), pages 1805-1821, November.
  164. Dixon, Peter N. & Fox, Corbin A. & Kelley, Eric K., 2021. "To own or not to own: Stock loans around dividend payments," Journal of Financial Economics, Elsevier, vol. 140(2), pages 539-559.
  165. Murphy Jun Jie Lee, 2013. "The Microstructure of Trading Processes on the Singapore Exchange," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 4, July-Dece.
  166. Katsiaryna Salavei Bardos, 2011. "Quality of financial information and liquidity," Review of Financial Economics, John Wiley & Sons, vol. 20(2), pages 49-62, May.
  167. Tse-Chun Lin & Qi Liu & Bo Sun, 2019. "Contractual Managerial Incentives with Stock Price Feedback," American Economic Review, American Economic Association, vol. 109(7), pages 2446-2468, July.
  168. Bill Hu & Joon Ho Hwang & Christine Jiang, 2014. "The Impact of Earnings Guidance Cessation on Information Asymmetry," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 41(1-2), pages 73-99, January.
  169. Giuliano Graziani & Barbara Rindi, 2023. "Optimal Tick Size," Working Papers 688, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  170. Isao Yagi & Yuji Masuda & Takanobu Mizuta, 2020. "Analysis of the Impact of High-Frequency Trading on Artificial Market Liquidity," Papers 2010.13038, arXiv.org.
  171. Bruno Biais & Christophe Bisière & Chester Spatt, 2010. "Imperfect Competition in Financial Markets: An Empirical Study of Island and Nasdaq," Management Science, INFORMS, vol. 56(12), pages 2237-2250, December.
  172. 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.
  173. Duc Hong Vo & Bao Doan, 2021. "Effects from containment and closure policies to market quality: Do they really matter in Vietnam during Covid-19?," PLOS ONE, Public Library of Science, vol. 16(4), pages 1-16, April.
  174. Bartley R. Danielsen & Robert A. Van Ness & Richard S. Warr, 2009. "Single Stock Futures as a Substitute for Short Sales: Evidence from Microstructure Data," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 36(9‐10), pages 1273-1293, November.
  175. Blau, Benjamin M. & Van Ness, Bonnie F. & Van Ness, Robert A., 2009. "Information and trade sizes: The case of short sales," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(4), pages 1371-1388, November.
  176. Adams, Samuel W. & Kasten, Connor & Kelley, Eric K., 2024. "How free is free? Retail trading costs with zero commissions," Journal of Banking & Finance, Elsevier, vol. 165(C).
  177. Loughran, Tim & Schultz, Paul, 2005. "Liquidity: Urban versus rural firms," Journal of Financial Economics, Elsevier, vol. 78(2), pages 341-374, November.
  178. Sabet, Amir H. & Heaney, Richard, 2015. "Bid-ask spread, information asymmetry and acquisition of oil and gas assets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 37(C), pages 77-84.
  179. Chung, Kee H. & Charoenwong, Charlie & Ding, David K., 2004. "Penny pricing and the components of spread and depth changes," Journal of Banking & Finance, Elsevier, vol. 28(12), pages 2981-3007, December.
  180. Jeffrey Ng & Tjomme O. Rusticus & Rodrigo S. Verdi, 2008. "Implications of Transaction Costs for the Post–Earnings Announcement Drift," Journal of Accounting Research, Wiley Blackwell, vol. 46(3), pages 661-696, June.
  181. Wu, Chunchi, 2004. "Information flow, volatility and spreads of infrequently traded Nasdaq stocks," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(1), pages 20-43, February.
  182. Lawrence Kryzanowski & Skander Lazrak & Ian Rakita, 2005. "The Behavior of Prices, Trades and Spreads for Canadian IPO’s," Multinational Finance Journal, Multinational Finance Journal, vol. 9(3-4), pages 215-236, September.
  183. Coughenour, Jay F. & Saad, Mohsen M., 2004. "Common market makers and commonality in liquidity," Journal of Financial Economics, Elsevier, vol. 73(1), pages 37-69, July.
  184. Giovanni Petrella, 2010. "MiFID, Reg NMS and competition across trading venues in Europe and the USA," Journal of Financial Regulation and Compliance, Emerald Group Publishing Limited, vol. 18(3), pages 257-271, July.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.