Tick size, liquid stocks and market quality: Evidence from a natural experiment in a unique setting
We study the causal impacts of a tick size reduction policy in highly liquid stocks, exploiting a unique experiment in Borsa Istanbul leading to substantial exogenous variation in the tick size. Adapting a differences-in-differences strategy with a novel limit order and trade book data with intraday...
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| Principais autores: | , |
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| Format: | Artigo |
| Sprog: | Inglês |
| Udgivet: |
Elsevier
2023-09-01
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| Serier: | Borsa Istanbul Review |
| Fag: | |
| Online adgang: | http://www.sciencedirect.com/science/article/pii/S2214845023000807 |
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