NYSE Decimalization and Price Impact of Trade

摘要：

　　This paper uses Hasbrouck’s (1991) vector autoregressive model to empirically test the effect of tick size (decimalization) on the permanent price impact of trade for frequently traded NYSE stocks.The result shows that the price impact of trade during the post-decimalization period is significantly lower than the pre-decimalization period.This suggests that the information asymmetries are reduced,and the overall liquidity of the market improved after decimalization.

关键词： tick size decimalization price impact

作者: Xu Jun Xi Wei

作者单位: Institute of National Accounts, Beijing Normal University, Beijing, China, 100875

会议类型: 国际会议

会议名称: The 6th International Conference on Financial Risk and Corporate Finance Management(第六届(2014)金融风险与公司金融国际研讨会)

会议地点: 大连

会议语种:英文

页码: 320-323

在线出版日期: 2014-06-30（万方平台首次上网日期，不代表论文的发表时间）