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https://ah.nccu.edu.tw/handle/140.119/61656
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| 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: | 2010.09 |
| 上傳時間: | 2013-11-12 17:52:28 (UTC+8) |
| 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 |
| 顯示於類別: | [風險管理與保險學系] 期刊論文 |
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