蜱虫大小和价格效率：蜱虫大小试点项目的进一步证据#

IF 2.9 3区经济学 Q2 BUSINESS, FINANCE

Financial Management Pub Date : 2023-03-27 DOI:10.1111/fima.12419

Kee H. Chung, Chairat Chuwonganant

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引用次数: 2

摘要

本文利用实施和终止交易规模试点计划(TSPP)的数据，研究了更大的交易规模是否提高或阻碍了小盘股的价格效率。我们表明，TSPP导致了各种流动性措施的增加，其终止使它们恢复到TSPP前的水平。我们还发现证据表明，TSPP导致交易者从试点转移到控制库存。TSPP的实施(终止)与价格效率的降低(增加)有关，表明价格效率随着蜱虫数量的增加而降低。流动性和知情交易是TSPP改变价格效率的两个渠道。

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Tick size and price efficiency: Further evidence from the Tick Size Pilot Program

This paper examines whether larger tick sizes improve or hinder price efficiency for small-capitalization stocks using data from implementing and terminating the Tick Size Pilot Program (TSPP). We show that the TSPP led to increases in various liquidity measures, and its termination restored them to their pre-TSPP levels. We also find evidence that the TSPP led to trader migration from the pilot to control stocks. The TSPP implementation (termination) is associated with decreases (increases) in price efficiency, indicating that price efficiency decreases with tick sizes. Liquidity and informed trading are two channels through which the TSPP changes price efficiency.

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来源期刊

Financial Management BUSINESS, FINANCE-

CiteScore

6.00

自引率

0.00%

发文量

期刊介绍： Financial Management (FM) serves both academics and practitioners concerned with the financial management of nonfinancial businesses, financial institutions, and public or private not-for-profit organizations.