Please use this identifier to cite or link to this item:
https://ah.lib.nccu.edu.tw/handle/140.119/61656
題名: | Tick-Size Change and Spread Components on the Taiwanese Stock Market | 作者: | 許永明 Hsieh, Tzung-Yuan ; Lin, Ching-Chung ; Shiu, Yung-Ming |
貢獻者: | 風管系 | 關鍵詞: | Binding-constraint probability;Information asymmetry cost;Order processing cost;Tick-size reduction | 日期: | 2010 | 上傳時間: | 12-Nov-2013 | 摘要: | This paper investigates the effect of the decrease in tick size that occurred in the Taiwanese stock market in 2005 on spread components. Employing a methodology proposed by Lin, Sanger and Booth (1995) and using rigorous investigation techniques, this study provides a better understanding of emerging order-driven markets. The empirical results show that information asymmetry costs and order processing costs have indeed decreased after the tick-size reduction. We further find that stocks with greater binding-constraint probability experience larger declines in information asymmetry. Besides, stocks traded frequently experience large declines in information asymmetry and order processing | 關聯: | International Research Journal of Finance and Economics, 54, 191-201 | 資料類型: | article |
Appears in Collections: | 期刊論文 |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
191201.pdf | 129.88 kB | Adobe PDF2 | View/Open |
Google ScholarTM
Check
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.