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
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: Suggested Citation