Abstract

http://ssrn.com/abstract=385944
 
 

References (33)



 
 

Citations (9)



 


 



Tick Size, Order Handling Rules, and Trading Costs


Kee H. Chung


State University of New York at Buffalo - School of Management

Chairat Chuwonganant


Indiana University Purdue University Fort Wayne



Abstract:     
We show that the effect of the tick-size change on NASDAQ spreads depends critically on the Order Handling Rules (OHR). Our empirical results show that the tick-size reduction has no impact on the spread of NASDAQ issues that were not subject to the new OHR, but has a significant effect on the spread of NASDAQ issues that were subject to the OHR. These results indicate that smaller tick sizes are valuable in reducing market friction only if market makers compete on price with public traders. Our results are in line with the finding of prior studies that execution costs are lower in auction markets than in pure dealer markets.

Number of Pages in PDF File: 26

JEL Classification: G14

working papers series





Download This Paper

Date posted: April 9, 2003  

Suggested Citation

Chung, Kee H. and Chuwonganant, Chairat, Tick Size, Order Handling Rules, and Trading Costs. Available at SSRN: http://ssrn.com/abstract=385944 or http://dx.doi.org/10.2139/ssrn.385944

Contact Information

Kee H. Chung (Contact Author)
State University of New York at Buffalo - School of Management ( email )
Buffalo, NY 14260
United States
716-645-3262 (Phone)
716-645-3823 (Fax)
HOME PAGE: http://mgt.buffalo.edu/home/faculty/academic/finance/faculty/keechung
Chairat Chuwonganant
Indiana University Purdue University Fort Wayne
2101 E. Coliseum Blvd.
Fort Wayne, IN 46805
United States
Feedback to SSRN


Paper statistics
Abstract Views: 2,644
Downloads: 280
Download Rank: 60,620
References:  33
Citations:  9

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo6 in 0.328 seconds