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https://ah.lib.nccu.edu.tw/handle/140.119/72649
題名: | Tick-Size Reduction and Spread Components on the Taiwanese Stock Market | 作者: | Hsieh, Tzung-Yuan;Lin, Ching-Chung;許永明 | 貢獻者: | 風管系 | 日期: | 九月-2010 | 上傳時間: | 7-一月-2015 | 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 costs. | 關聯: | International Research Journal of Finance and Economics,54,191-201 | 資料類型: | article |
Appears in Collections: | 期刊論文 |
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191-201.pdf | 129.88 kB | Adobe PDF2 | View/Open |
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