An examination of minimum tick sizes on the Tokyo Stock Exchange

Ascioglu, Asli; Comerton‐Forde, Carole; McInish, Thomas H.

doi:10.1016/j.japwor.2009.06.006

Cited by 17 publications

(10 citation statements)

References 24 publications

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“…We further analyzed the cross-sectional idiosyncratic attributes of trading activity, competition, and information structure documented in McInish and Van Ness (2002) and Ascioglu, Comerton-Forde, and McInish (2010) using regression analysis on the effect of reduced tick size as follows: George, Kaul, and Nimalendran (1991); HS represents Huang and Stoll (1997); and MRR represents Madhavan, Richardson, and Roomans (1997). The percentage changes in the time-series average order-processing component are regressed on the ratio of the new tick size to the original tick size (Ratio), the natural log of the time-series average stock price (LogPrice pre ), the natural log of the time-series average daily number of trades (LogANumtrade pre ), the natural log of the time-series average daily mean trade size (LogATrsize pre ), the inverse of the time-series average standard deviation of returns (1/stdev pre ), and the natural log of turnover (LogTurnover pre ), which were all estimated using data from the 3 months prior to the tick-size conversion.…”

Section: Cross-sectional Regression Analysismentioning

confidence: 99%

Tick Size Reduction and the Components of the Bid-Ask Spread on the Taiwan Stock Exchange

Kuo¹

2016

IJFR

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We examined the effect of reduced tick size on spread and its various components on Taiwan Stock Exchange (TWSE). The TWSE stands for a representative order-driving call mechanism in the emerging market. The noticeable market features of the TWSE render our findings on the effect of tick-size changes useful in combination with those reported in studies on developed markets. Our evidence strongly indicated that the traded spread and the order-processing component declined after tick size was reduced, whereas the asymmetric information component exhibited less significant changes. We documented a relatively high proportion of the order-processing component of the TWSE compared with that observed in developed markets after tick size was reduced. The cross-sectional regression analysis results indicated that stocks with high binding constraints, a high price, and high trading activity generated substantial savings on the order-processing component after tick-size conversion. Our empirical results highlight the important contributions of reduced tick size on market efficiency specifically in an emerging call market setting.

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Section: Cross-sectional Regression Analysismentioning

confidence: 99%

Tick Size Reduction and the Components of the Bid-Ask Spread on the Taiwan Stock Exchange

Kuo¹

2016

IJFR

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“…Ascioglu, Comerton-Forde, and McInish (2010) examined the different tick sizes in the Tokyo Stock Exchange, which are based on stock prices solely. They suggested that the tick size should be determined by trading activity and stock price, and posited that transaction costs would be unnecessarily high if the minimum tick size is set inadequately.…”

Section: 122mentioning

confidence: 99%

Role of Market Microstructure in the Relationship between Market Co-Movement and Market Efficiency

Zhang¹

2012

SSRN Journal

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This study examines the effects of changes in stock market microstructure on internal market efficiency and explores the relations among internal market efficiency, market co-movement and cross-market efficiency using evidence from Shanghai and Hong Kong stock exchanges. The results show that changes in the market microstructure have significant effects on the internal market efficiencies of the two markets. Second, the developed market (Hong Kong stock exchange) is not always more efficient than the emerging market (Shanghai stock exchange). Third, the cross-market efficiency is only affected by the internal market efficiency of the emerging market during normal economic conditions, but is determined by the internal market efficiency of the emerging market and the market co-movement during the financial crisis period. Finally, this study confirms Dwyer and Wallace's (1992) statement that strong market co-movement does not imply cross-market inefficiency.

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“…The size of the spread is attributed to liquidity and transparency of the market, that is, more liquidity and transparency in the market decrease the bid-ask spreads. Ascioglu, et al (2010) argue that higher minimum tick size would generate high unnecessarily transactions costs. While lower minimum tick size may lead to low market liquidity.…”

Section: Rules Of Tick Size and Spreadmentioning

confidence: 99%

Market Microstructure: The Components of Black-Box

Asmar¹,

Ahmad²

2011

IJEF

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During the last few decades, market microstructure has become an important discipline within the field of finance. The market microstructure literatures have been enriched by theoretical, empirical and experimental studies relating to other areas of finance such as assets pricing, corporate finance, international finance and welfare. The processes and rules of exchanging securities are considered an important issue since they affect the way in which trades are determined, prices are formed and scope of asymmetric information. However, the ways of describing how exchange process occurs in the markets are varied. This paper determines the components of the market microstructure black-box in terms of trading mechanisms and regulations governing various aspects of trading process. Determining the components of the black-box allows researchers to identify and compare the themes in market microstructure and issues facing the process of trading securities. Thus, this paper may be used as a source for future research ideas in comparing the market microstructure of exchanges. It also provides necessary input to the regulatory bodies to enhance the design of better markets. Furthermore, understanding how markets work and how it regulated can improve the investors trading strategies and they can better manage the brokers who work for them as well as the investors will be able to predict how various rules affect price efficiency, liquidity, and trading profits.

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An examination of minimum tick sizes on the Tokyo Stock Exchange

Cited by 17 publications

References 24 publications

Tick Size Reduction and the Components of the Bid-Ask Spread on the Taiwan Stock Exchange

Tick Size Reduction and the Components of the Bid-Ask Spread on the Taiwan Stock Exchange

Role of Market Microstructure in the Relationship between Market Co-Movement and Market Efficiency

Market Microstructure: The Components of Black-Box

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