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Article: The effects of a tick-size reduction on the liquidity in a pure limit order market: Evidence from Hong Kong
Title | The effects of a tick-size reduction on the liquidity in a pure limit order market: Evidence from Hong Kong |
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Authors | |
Keywords | Limit Order Market Liquidity Tick-Size Reduction |
Issue Date | 2012 |
Publisher | Routledge. The Journal's web site is located at http://www.tandf.co.uk/journals/routledge/13504851.html |
Citation | Applied Economics Letters, 2012, v. 19 n. 16, p. 1639-1642 How to Cite? |
Abstract | This study empirically investigates the effects of a tick-size reduction on the liquidity of the Hong Kong stock market, a pure limit order market. By using a modified cumulative depth to measure liquidity, we find that overall liquidity for liquid stocks is significantly decreased after the tick-size reduction, which implies that the tick-size reduction probably increases the transaction costs of large institutions. Furthermore, the results show that trading sizes in high-volume stocks are decreased, probably because large institutional traders use smaller size transactions to hedge the adverse effect caused by the decreased liquidity. © 2012 Copyright Taylor and Francis Group, LLC. |
Persistent Identifier | http://hdl.handle.net/10722/177793 |
ISSN | 2023 Impact Factor: 1.2 2023 SCImago Journal Rankings: 0.376 |
ISI Accession Number ID | |
References |
DC Field | Value | Language |
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dc.contributor.author | Pan, W | en_US |
dc.contributor.author | Song, FM | en_US |
dc.contributor.author | Tao, L | en_US |
dc.date.accessioned | 2012-12-19T09:39:55Z | - |
dc.date.available | 2012-12-19T09:39:55Z | - |
dc.date.issued | 2012 | en_US |
dc.identifier.citation | Applied Economics Letters, 2012, v. 19 n. 16, p. 1639-1642 | en_US |
dc.identifier.issn | 1350-4851 | en_US |
dc.identifier.uri | http://hdl.handle.net/10722/177793 | - |
dc.description.abstract | This study empirically investigates the effects of a tick-size reduction on the liquidity of the Hong Kong stock market, a pure limit order market. By using a modified cumulative depth to measure liquidity, we find that overall liquidity for liquid stocks is significantly decreased after the tick-size reduction, which implies that the tick-size reduction probably increases the transaction costs of large institutions. Furthermore, the results show that trading sizes in high-volume stocks are decreased, probably because large institutional traders use smaller size transactions to hedge the adverse effect caused by the decreased liquidity. © 2012 Copyright Taylor and Francis Group, LLC. | en_US |
dc.language | eng | en_US |
dc.publisher | Routledge. The Journal's web site is located at http://www.tandf.co.uk/journals/routledge/13504851.html | en_US |
dc.relation.ispartof | Applied Economics Letters | en_US |
dc.subject | Limit Order Market | en_US |
dc.subject | Liquidity | en_US |
dc.subject | Tick-Size Reduction | en_US |
dc.title | The effects of a tick-size reduction on the liquidity in a pure limit order market: Evidence from Hong Kong | en_US |
dc.type | Article | en_US |
dc.identifier.email | Song, FM: fmsong@hkucc.hku.hk | en_US |
dc.identifier.authority | Song, FM=rp01095 | en_US |
dc.description.nature | link_to_subscribed_fulltext | en_US |
dc.identifier.doi | 10.1080/13504851.2011.650327 | en_US |
dc.identifier.scopus | eid_2-s2.0-84859412058 | en_US |
dc.relation.references | http://www.scopus.com/mlt/select.url?eid=2-s2.0-84859412058&selection=ref&src=s&origin=recordpage | en_US |
dc.identifier.volume | 19 | en_US |
dc.identifier.issue | 16 | en_US |
dc.identifier.spage | 1639 | en_US |
dc.identifier.epage | 1642 | en_US |
dc.identifier.isi | WOS:000302502100020 | - |
dc.publisher.place | United Kingdom | en_US |
dc.identifier.scopusauthorid | Pan, W=35206210900 | en_US |
dc.identifier.scopusauthorid | Song, FM=7203075605 | en_US |
dc.identifier.scopusauthorid | Tao, L=36344230800 | en_US |
dc.identifier.issnl | 1350-4851 | - |