NYSE Decimalization and Price Impact of Trade

被引：0
|
作者：
Xu Jun [1 ]
Xi Wei [1 ]
机构：
[1] Beijing Normal Univ, Inst Natl Accounts, Beijing 100875, Peoples R China
来源：
PROCEEDINGS OF THE 6TH (2014) INTERNATIONAL CONFERENCE ON FINANCIAL RISK AND CORPORATE FINANCE MANAGEMENT, VOLS. I AND II | 2014年
关键词：
tick size; decimalization; price impact; LARGE-BLOCK TRANSACTIONS; TICK SIZE; MARKET;
D O I：
暂无
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This paper uses Hasbrouck's (1991) vector autoregressive model to empirically test the effect of tick size (decimalization) on the permanent price impact of trade for frequently traded NYSE stocks. The result shows that the price impact of trade during the post-decimalization period is significantly lower than the pre-decimalization period. This suggests that the information asymmetries are reduced, and the overall liquidity of the market improved after decimalization.
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页码：320 / 323
页数：4
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