The impact of tick size on intraday stock price behavior: evidence from the Taiwan Stock Exchange |
| |
Institution: | 1. School of Finance, Zhongnan University of Economics and Law, China;2. Institute of Chinese Financial Studies and Collaborative Innovation Center of Financial Security, Southwestern University of Finance and Economics, China |
| |
Abstract: | This research examines the impact of tick size on intraday stock price behavior for stocks listed on the Taiwan Stock Exchange over the 2-year period of 1998–1999. The sample involves the same 80 firms that trade under the tick size of (New Taiwan Dollars) NT$0.1 and NT$0.5, respectively. The sample firms display a U-shaped intraday pattern of bid–ask spread, volatility, autocorrelation, and trading volume. The empirical results indicate that a larger tick size is associated with a wider bid–ask spread, larger volatility, and more negative autocorrelation. Moreover, a larger tick size is associated with a higher percentage increase of bid–ask spread and volatility in the middle of the trading period. Finally, the effect of tick size on trading volume is insignificant. |
| |
Keywords: | |
本文献已被 ScienceDirect 等数据库收录! |
|