Tick Sizes, Stock Prices, and Share Turnover: International Evidence

Studies in Economics and Finance, Vol. 20, No. 2, pp. 1-18, 2002

Posted: 5 Dec 2002

See all articles by Larry R. Gorman

Larry R. Gorman

California Polytechnic State University

Edward Alexander Dyl

University of Arizona

Hugh Douglas Witte

University of Missouri at Columbia - Department of Finance

Abstract

We examine tick sizes, stock prices, and share turnover rates in stock markets across 18 developed countries and find that (i) differences in mandatory tick sizes explain a significant proportion of the variation in stock prices among markets, and (ii) lower percentage tick sizes are not associated with higher turnover.

We consider the implications of these findings for the recent decimalization of stock trading in the United States, and conclude that decimal trading is likely to result in lower stock prices (due to stock splits) with no substantial change in dollar trading volume.

Note: This is a description of the paper and not the actual abstract.

Keywords: Tick size, stock price level, trading volume, decimalization

JEL Classification: F30, G10

Suggested Citation

Gorman, Larry and Dyl, Edward A. and Witte, Hugh Douglas, Tick Sizes, Stock Prices, and Share Turnover: International Evidence. Studies in Economics and Finance, Vol. 20, No. 2, pp. 1-18, 2002, Available at SSRN: https://ssrn.com/abstract=336022

Larry Gorman (Contact Author)

California Polytechnic State University ( email )

College of Business
Department of Finance
San Luis Obispo, CA 93407
United States
805-756-1312 (Phone)
805-756-1473 (Fax)

Edward A. Dyl

University of Arizona ( email )

Department of Finance
Tucson, AZ 85721
United States
520-621-9534 (Phone)
520-621-1261 (Fax)

Hugh Douglas Witte

University of Missouri at Columbia - Department of Finance ( email )

403 Cornell Hall
Columbia, MO 65211
United States
573-882-2371 (Phone)

HOME PAGE: http://business.missouri.edu/People/FacStaff/finfac/index.htm#fin_witte

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