Search Results - subject:"decimalization"

Decimalization, Realized Volatility, and Market Microstructure Noise

Vuorenmaa, Tommi A. - Volkswirtschaftliche Fakultät, … - 2008

This paper studies empirically the effect of decimalization on volatility and market microstructure noise. We apply … and after the final stage of decimalization which, on the NYSE, took place in January, 2001. We find that decimalization …

Persistent link: https://www.econbiz.de/10005620054

Estimating liquidity using information on the multivariate trading process

Bien, Katarzyna; Nolte, Ingmar; Pohlmeier, Winfried - 2006

influence of the decimalization at the NYSE on liquidity. …

Persistent link: https://www.econbiz.de/10010266928

Estimating liquidity using information on the multivariate trading process

Bien, Katarzyna; Nolte, Ingmar; Pohlmeier, Winfried - Zakład Ekonometrii Stosowanej, Szkoła Główna … - 2006

influence of the decimalization at the NYSE on liquidity. …

Persistent link: https://www.econbiz.de/10005113476

The Behavior of Prices, Trades and Spreads for Canadian IPO’s

Kryzanowski, Lawrence; Lazrak, Skander; Rakita, Ian - In: Multinational Finance Journal 9 (2005) 3-4, pp. 215-236

Microstructure effects for 359 TSX listed IPO’s in the period 1984-2002 are examined. Based on first day returns, earning positive mean returns is very difficult even when most IPO’s are purchased at the offer price. Mean daily trade volume for the first five days of IPO trading is large...

Persistent link: https://www.econbiz.de/10010937132