Chakravarty, Sugato; Wood, Robert A.; Harris, Stephen P. - Krannert School of Management, Purdue University - 2002
Using high-frequency data and a carefully constructed 1-1 matched sample of control (non-decimal) stocks, we isolate the effects of decimalization for a sample of NYSE-listed common stocks trading in decimals. We find that both quoted and effective bid-ask spreads and depths have declined...