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Do Finer Pricing Grids Reduce Market Volatility? Evidence from a Tick Size Reform in an Emerging Market

https://doi.org/10.2139/ssrn.6814010
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Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1006/jfin.1996.0002openalex-snapshot
Tick Size, Spread, and Volume
inferredcites →https://doi.org/10.1007/s11156-017-0632-2openalex-snapshot
One size fits all? High frequency trading, tick size changes and the implications for exchanges: market quality and market structure considerations
inferredcites →https://doi.org/10.1016/j.bir.2023.07.003openalex-snapshot
Tick size, liquid stocks and market quality: Evidence from a natural experiment in a unique setting
inferredcites →https://doi.org/10.1016/j.iref.2023.07.109openalex-snapshot
Realized volatility, price informativeness, and tick size: A market microstructure approach
inferredcites →https://doi.org/10.1016/s0378-4266(03)00136-5openalex-snapshot
Why markets should not necessarily reduce the tick size
inferredcites →https://doi.org/10.1080/13504851.2011.650327openalex-snapshot
The effects of a tick-size reduction on the liquidity in a pure limit order market: evidence from Hong Kong
inferredcites →https://doi.org/10.1093/rfs/10.1.103openalex-snapshot
Liquidity Provision with Limit Orders and a Strategic Specialist
inferredcites →https://doi.org/10.1093/rfs/7.1.149openalex-snapshot
Minimum Price Variations, Discrete Bid–Ask Spreads, and Quotation Sizes
inferredcites →https://doi.org/10.1111/1540-6261.00454openalex-snapshot
Range‐Based Estimation of Stochastic Volatility Models
inferredcites →https://doi.org/10.1111/eufm.12355openalex-snapshot
Impact of MiFID II tick‐size regime on equity markets—Evidence from the LSE
inferredcites →https://doi.org/10.1111/j.1475-6803.2004.00078.xopenalex-snapshot
Decimals And Liquidity: A Study Of The Nyse
inferredcites →https://doi.org/10.1111/j.1475-6803.2005.00115.xopenalex-snapshot
THE EFFECTS OF DECIMALIZATION ON RETURN VOLATILITY COMPONENTS, SERIAL CORRELATION, AND TRADING COSTS
inferredcites →https://doi.org/10.1111/j.2041-6156.2010.01020.xopenalex-snapshot
Impact of the Change in Tick Size on Transaction Costs and Liquidity: An Empirical Investigation of the Taiwan Stock Exchange*
inferredcites →https://doi.org/10.1287/mnsc.2022.4502openalex-snapshot
Tick Size, Trading Strategies and Market Quality
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