Profitability and liquidity provision of HFTs during large price shocks: Does relative tick size matter?
Sign Up to like & getrecommendations! Published in 2021 at "Finance Research Letters"
DOI: 10.1016/j.frl.2021.102308
Abstract: Abstract Using tick data identifying high-frequency traders (HFTs), this paper studies the trading profits and liquidity provision of HFTs during large price shocks. Previous studies report mixed evidence on whether HFTs provide or take liquidity… read more here.
Keywords: liquidity provision; liquidity; relative tick; tick size ... See more keywords
Gauging the effects of stock liquidity on earnings management: Evidence from the SEC tick size pilot test
Sign Up to like & getrecommendations! Published in 2021 at "Journal of Corporate Finance"
DOI: 10.1016/j.jcorpfin.2021.101904
Abstract: Abstract This paper studies whether stock market liquidity has a causal effect on real earnings management. We introduce a new and cleaner identification of liquidity shock - the 2016 Tick Size Pilot Program - to… read more here.
Keywords: earnings management; size pilot; tick size; liquidity ... See more keywords
Minimum tick size, market quality and costs of trade execution in Vietnam
Sign Up to like & getrecommendations! Published in 2023 at "PLOS ONE"
DOI: 10.1371/journal.pone.0285821
Abstract: The Vietnamese government introduced a change in the minimum tick size for stock trading on 12 September 2016 to improve market quality and reduce trade execution costs. The intended effects of this policy have not… read more here.
Keywords: tick size; size; trade execution; market quality ... See more keywords
The Effect of Tick Size on Trading Volume Share in Two Competing Stock Markets
Sign Up to like & getrecommendations! Published in 2017 at "Journal of the Physical Society of Japan"
DOI: 10.7566/jpsj.86.014801
Abstract: The relationship between tick sizes and trading volume shares in competing markets is studied theoretically. By introducing a simple model which is equipped with two markets and non-strategic traders, we analytically calculate the steady states.… read more here.
Keywords: share; tick size; trading volume; market ... See more keywords