Intraday variation in trading costs: Evidence from the TSPP-Reference-Cited by-同舟云学术

Intraday variation in trading costs: Evidence from the TSPP

Published:2024-03-18 Issue: Volume: Page:
ISSN:0270-2592
Container-title:Journal of Financial Research
language:en
Short-container-title:J of Financial Research

Author:

Cox Justin¹^ORCID,Van Ness Bonnie²,Van Ness Robert²^ORCID

Affiliation:

1. Department of Finance, Banking, and Insurance Appalachian State University Boone North Carolina USA

2. Department of Finance University of Mississippi, University Mississippi USA

Abstract

AbstractWe examine changes in the intraday pattern of trading costs between pilot and control stocks during the US Securities and Exchange Commission tick size pilot program (TSPP). We find that intraday trading costs are relatively unchanged between pilot and control stocks in pre‐ and post‐TSPP periods. We find that differences in trading costs between pilot and control stocks during the TSPP are lower in the morning and greater toward the close. We also find that intraday differences in quoted depth between pilot and control stocks during the TSPP is lower at the beginning of the day, increases during the day, and falls toward the close of trading.

Publisher

Wiley

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1111/jfir.12394

Reference22 articles.

1. A Theory of Intraday Patterns: Volume and Price Variability

2. The price effects of liquidity shocks: A study of the SEC’s tick size experiment

3. Effects of Market Reform on the Trading Costs and Depths of Nasdaq Stocks

4. Subsidizing Liquidity with Wider Ticks: Evidence from the Tick Size Pilot Study

5. Market Structure and the Intraday Pattern of Bid-Ask Spreads for NASDAQ Securities