Tick size, liquidity for small and large orders, and price informativeness: Evidence from the Tick Size Pilot Program-Reference-Cited by-同舟云学术

Tick size, liquidity for small and large orders, and price informativeness: Evidence from the Tick Size Pilot Program

Published:2020-06 Issue:3 Volume:136 Page:879-899
ISSN:0304-405X
Container-title:Journal of Financial Economics
language:en
Short-container-title:Journal of Financial Economics

Author:

Chung Kee H.,Lee Albert J.,Rösch Dominik

Funder

National Science Foundation

Publisher

Elsevier BV

Subject

Strategy and Management,Economics and Econometrics,Finance,Accounting

Reference55 articles.

1. The Price Effects of Liquidity Shocks: a Study of SEC's Tick Size Experiment;Albuquerque,2017

2. Market making with discrete prices;Anshuman;Rev. Financ. Stud.,1998

3. Barron's, 2018. Congress’ failed stock market experiment cost investors $900 million. https://www.barrons.com/articles/sec-tick-size-pilot-program-1536961160 [accessed February 26, 2019].

4. Competing mechanisms in a common value environment;Biais;Econometrica,2000

5. Potential pilot problems: treatment spillovers in financial regulatory experiments;Boehmer;J. Financ. Econ,2020

Cited by 61 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Realized volatility, price informativeness, and tick size: A market microstructure approach;International Review of Economics & Finance;2024-01

2. Tick Size, Competition for Liquidity Provision, and Price Discovery: Evidence from the U.S. Treasury Market;Management Science;2024-01

3. Who trades at the close? Implications for price discovery and liquidity;Journal of Financial Markets;2023-11

4. Does better liquidity for large orders attract institutional investors and analysts? Evidence from the Tick Size Pilot Program;Journal of Financial Markets;2023-11

5. Tick Size and Earnings Guidance in Small-Cap Firms: Evidence from the SEC’s Tick Size Pilot Program;Management Science;2023-09-27