LIQUIDITY AND QUOTE CLUSTERING IN A MARKET WITH MULTIPLE TICK SIZES
We analyze market liquidity (i.e., spreads and depths) and quote clustering using data from the Kuala Lumpur Stock Exchange (KLSE), where the tick size increases with share price in a stepwise fashion. We find that stocks that are subject to larger mandatory tick sizes have wider spreads and less quote clustering. We also find that liquidity providers on the KLSE do not always quote larger depths for stocks with larger tick sizes. Overall, our results suggest that larger tick sizes for higher priced stocks are detrimental to market liquidity, although the adverse effect of larger tick sizes is mitigated by lower negotiation costs (i.e., less quote clustering). 2005 The Southern Finance Association and the Southwestern Finance Association.
Year of publication: |
2005
|
---|---|
Authors: | Chung, Kee H. ; Kim, Kenneth A. ; Kitsabunnarat, Pattanaporn |
Published in: |
Journal of Financial Research. - Southern Finance Association - SFA, ISSN 0270-2592. - Vol. 28.2005, 2, p. 177-195
|
Publisher: |
Southern Finance Association - SFA Southwestern Finance Association - SWFA |
Saved in:
Saved in favorites
Similar items by person
-
LIQUIDITY AND QUOTE CLUSTERING IN A MARKET WITH MULTIPLE TICK SIZES
Chung, Kee H., (2005)
-
The costs (and benefits?) of diversified business groups: The case of Korean chaebols
Ferris, Stephen P., (2003)
-
Ownership and operating performance in an emerging market: evidence from Thai IPO firms
Kim, Kenneth A., (2004)
- More ...