Liquidity and Price Clustering on the Taiwan StockExchange with Multiple Tick Sizes

• Main Authors: Hsin-Yu Tseng, 曾馨玉
• Other Authors: Chaoshin Chiao
• Format: Others
• Language: zh-TW
• Published: 2007
• Online Access: http://ndltd.ncl.edu.tw/handle/ast4k9

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 depth is not related to the tick size. Overall, mid-price stocks have better market liquidity. In the events of stocks passing through the next price group, the permanent change of tick sizes result in an effect on spreads larger than on depth. Furthermore, not only order prices are clustering in integer and even prices in all tick size groups, but also the wider the tick size, the weaker the price clustering pattern. Finally, the tick size generates an indirect negative effect on the effective spread through price clustering. After controlling for this indirect effect, the influence still exists, though to a less extent.