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Title: Tick-Size Change and Spread Components on the Taiwanese Stock Market
Authors: 許永明
Hsieh, Tzung-Yuan;Lin, Ching-Chung;Shiu, Yung-Ming
Contributors: 風管系
Keywords: Binding-constraint probability;Information asymmetry cost;Order processing cost;Tick-size reduction
Date: 2010.09
Issue Date: 2013-11-12 17:52:28 (UTC+8)
Abstract: 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
Relation: International Research Journal of Finance and Economics, 54, 191-201
Data Type: article
Appears in Collections:[風險管理與保險學系 ] 期刊論文

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