交易成本的日内变化：来自 TSPP 的证据

IF 1.5 3区经济学 Q3 BUSINESS, FINANCE

Journal of Financial Research Pub Date : 2024-03-18 DOI:10.1111/jfir.12394

Justin Cox, Bonnie Van Ness, Robert Van Ness

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引用次数: 0

摘要

我们研究了在美国证券交易委员会股票代码规模试点计划（TSPP）期间，试点股票与对照股票之间的日内交易成本模式的变化。我们发现，在 TSPP 之前和之后，试点股票和控制股票的日内交易成本相对没有变化。我们发现，在 TSPP 期间，试点股票和对照股票之间的交易成本差异在上午较小，在临近收盘时较大。我们还发现，在试点方案期间，试点股票与对照股票之间的日内报价深度差异在交易日开始时较低，在交易日期间增大，并在收盘时减小。

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Intraday variation in trading costs: Evidence from the TSPP

We examine changes in the intraday pattern of trading costs between pilot and control stocks during the US Securities and Exchange Commission tick size pilot program (TSPP). We find that intraday trading costs are relatively unchanged between pilot and control stocks in pre- and post-TSPP periods. We find that differences in trading costs between pilot and control stocks during the TSPP are lower in the morning and greater toward the close. We also find that intraday differences in quoted depth between pilot and control stocks during the TSPP is lower at the beginning of the day, increases during the day, and falls toward the close of trading.

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来源期刊

Journal of Financial Research BUSINESS, FINANCE-

CiteScore

1.70

自引率

0.00%

发文量

期刊介绍： The Journal of Financial Research(JFR) is a quarterly academic journal sponsored by the Southern Finance Association (SFA) and the Southwestern Finance Association (SWFA). It has been continuously published since 1978 and focuses on the publication of original scholarly research in various areas of finance such as investment and portfolio management, capital markets and institutions, corporate finance, corporate governance, and capital investment. The JFR, also known as the Journal of Financial Research, provides a platform for researchers to contribute to the advancement of knowledge in the field of finance.