Making cents of tick sizes: The effect of the 2016 U.S. SEC tick size pilot on limit order book liquidity-Reference-Cited by-同舟云学术

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Making cents of tick sizes: The effect of the 2016 U.S. SEC tick size pilot on limit order book liquidity

Published:2019-04 Issue: Volume:101 Page:104-121
ISSN:0378-4266
Container-title:Journal of Banking & Finance
language:en
Short-container-title:Journal of Banking & Finance

Author:

Griffith Todd G.^ORCID,Roseman Brian S.^ORCID

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference46 articles.

1. Asset pricing with liquidity risk;Acharya;J. Financ. Econ.,2005

2. The Price-effects of Liquidity Shocks: a Study of SEC's Tick-size Experiment;Albuquerque,2017

3. Liquidity and stock returns;Amihud;Financ. Anal. J.,1986

4. Tick size, share prices, and stock splits;Angel;J. Finance,1997

5. Order submission strategies, liquidity supply, and trading in pennies on the New York Stock Exchange;Bacidore;J. Financ. Mark.,2003

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2. Does market microstructure affect time-varying efficiency? Evidence from emerging markets;Research in International Business and Finance;2024-06

3. The lower the better? Revisiting minimum tick size;Applied Economics Letters;2024-04

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