Liquidity and Price Clustering on the Taiwan StockExchange with Multiple Tick Sizes
碩士 === 國立東華大學 === 國際經濟研究所 === 95 === Applying quote and limit-order data, we examine the relation between tick sizes, market liquidity, and clustering in order prices on the Taiwan Stock Exchange adopting multiple tick sizes. We find that the effective spread increases with the tick size but the dep...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2007
|
| Online Access: | http://ndltd.ncl.edu.tw/handle/ast4k9 |