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...
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ndltd-TW-095NDHU53240032019-05-15T19:47:45Z http://ndltd.ncl.edu.tw/handle/ast4k9 Liquidity and Price Clustering on the Taiwan StockExchange with Multiple Tick Sizes 台灣股市升降單位與市場流動性、價格群聚關係之分析 Hsin-Yu Tseng 曾馨玉 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. Chaoshin Chiao Chelsea C. Lin 蕭朝興 林奇蓉 2007 學位論文 ; thesis 45 zh-TW |
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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.
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author2 |
Chaoshin Chiao |
author_facet |
Chaoshin Chiao Hsin-Yu Tseng 曾馨玉 |
author |
Hsin-Yu Tseng 曾馨玉 |
spellingShingle |
Hsin-Yu Tseng 曾馨玉 Liquidity and Price Clustering on the Taiwan StockExchange with Multiple Tick Sizes |
author_sort |
Hsin-Yu Tseng |
title |
Liquidity and Price Clustering on the Taiwan StockExchange with Multiple Tick Sizes |
title_short |
Liquidity and Price Clustering on the Taiwan StockExchange with Multiple Tick Sizes |
title_full |
Liquidity and Price Clustering on the Taiwan StockExchange with Multiple Tick Sizes |
title_fullStr |
Liquidity and Price Clustering on the Taiwan StockExchange with Multiple Tick Sizes |
title_full_unstemmed |
Liquidity and Price Clustering on the Taiwan StockExchange with Multiple Tick Sizes |
title_sort |
liquidity and price clustering on the taiwan stockexchange with multiple tick sizes |
publishDate |
2007 |
url |
http://ndltd.ncl.edu.tw/handle/ast4k9 |
work_keys_str_mv |
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