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Effects of Tick Size Change on the Intraday Patterns of Spread and Depth

신정순
한국재무관리학회 (Korea Financial Management Association)|2009.12|재무관리연구 (THE KOREAN JOURNAL OF FINANCIAL MANAGEMENT)|제26권 제4호|pp. 141-163

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참고문헌

키워드

SpreadDepthLiquidityIntraday PatternsTick Size Changes
주제분류경영학

초록

Using the extensive datasets, I analyze the effect of tick size changes on the intraday patterns of spread and depth. I show that intraday variations in spread (depth) are greater (smaller) with smaller tick size during the early hour of trading and become smaller (larger) during the last hour of trading. And the standardized spreads (depths) are quoted at the lower (higher) levels as the tick size becomes smaller. I also find that U-shaped intraday spread pattern changes to the reverse flat S-shape while inverted U-shaped depth pattern does to the flat S-shape.

Abstract

Using the extensive datasets, I analyze the effect of tick size changes on the intraday patterns of spread and depth. I show that intraday variations in spread (depth) are greater (smaller) with smaller tick size during the early hour of trading and become smaller (larger) during the last hour of trading. And the standardized spreads (depths) are quoted at the lower (higher) levels as the tick size becomes smaller. I also find that U-shaped intraday spread pattern changes to the reverse flat S-shape while inverted U-shaped depth pattern does to the flat S-shape.

참고문헌 (41)

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