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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

TitleThe effects of a tick-size reduction on the liquidity in a pure limit order market: Evidence from Hong Kong
Authors
KeywordsLimit Order Market
Liquidity
Tick-Size Reduction
Issue Date2012
PublisherRoutledge. 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?
AbstractThis 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 Identifierhttp://hdl.handle.net/10722/177793
ISSN
2015 Impact Factor: 0.378
2015 SCImago Journal Rankings: 0.335
ISI Accession Number ID
References

 

DC FieldValueLanguage
dc.contributor.authorPan, Wen_US
dc.contributor.authorSong, FMen_US
dc.contributor.authorTao, Len_US
dc.date.accessioned2012-12-19T09:39:55Z-
dc.date.available2012-12-19T09:39:55Z-
dc.date.issued2012en_US
dc.identifier.citationApplied Economics Letters, 2012, v. 19 n. 16, p. 1639-1642en_US
dc.identifier.issn1350-4851en_US
dc.identifier.urihttp://hdl.handle.net/10722/177793-
dc.description.abstractThis 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.languageengen_US
dc.publisherRoutledge. The Journal's web site is located at http://www.tandf.co.uk/journals/routledge/13504851.htmlen_US
dc.relation.ispartofApplied Economics Lettersen_US
dc.subjectLimit Order Marketen_US
dc.subjectLiquidityen_US
dc.subjectTick-Size Reductionen_US
dc.titleThe effects of a tick-size reduction on the liquidity in a pure limit order market: Evidence from Hong Kongen_US
dc.typeArticleen_US
dc.identifier.emailSong, FM: fmsong@hkucc.hku.hken_US
dc.identifier.authoritySong, FM=rp01095en_US
dc.description.naturelink_to_subscribed_fulltexten_US
dc.identifier.doi10.1080/13504851.2011.650327en_US
dc.identifier.scopuseid_2-s2.0-84859412058en_US
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-84859412058&selection=ref&src=s&origin=recordpageen_US
dc.identifier.volume19en_US
dc.identifier.issue16en_US
dc.identifier.spage1639en_US
dc.identifier.epage1642en_US
dc.identifier.isiWOS:000302502100020-
dc.publisher.placeUnited Kingdomen_US
dc.identifier.scopusauthoridPan, W=35206210900en_US
dc.identifier.scopusauthoridSong, FM=7203075605en_US
dc.identifier.scopusauthoridTao, L=36344230800en_US

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