Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 6 of 6 for “"Tick size"”.
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Essays on stock exchanges speed competition, designs and high-frequency trading
… of trading volume in stocks with a five-cent tick, the minimum price movement, increases by 13 percent relative to one-cent tick stocks after the introduction of Tick Size Pilot Program in 2016, because price improving is less likely with larger tick size. I then show that after switching from …
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Essays on (Frictions in) Corporate Finance
… value from values (Starks 2023). Exploiting the Tick Size Pilot Program (TSP)—a natural experiment that raised participating firms’ tick size from one cent to five cents—we show that green institutional investors with relatively low willingness to pay for environmental objectives (i.e., …
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The Effects of Options Markets on the Underlying Markets: Quasi-Experimental Evidence
… Pilot Program, a mandated decrease of the option tick size for various equity options classes. Several financial professionals claimed that this decrease would drive institutional investors out of the exchange-traded options market, channeling them into the opaque, over-the-counter (OTC) options …
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Three essays on the market microstructure of the Saudi stock market
… other markets, mainly due to a relatively high tick size. Tick size is an important determinant of the inside spreads for low priced stocks. While immediacy is available nearly all the time, market liquidity, as commonly measured by width and depth, is relatively low on the SSM. Limit orders …
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Two Essays on Financial Economics
… own limit orders that offer (generally) one tick price improvement, and then using the large limit order as an option: if the eighther's order is executed and the security value moves unfavorably, the eighther can reverse his position to the large limit order trader. To reduce this eighthing, …
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Essays on Financial Markets
… definite covariance matrices of arbitrary size possible. An important drawback with Orthogonal GARCH is that it builds on assumptions that sometimes break down when some of the assets we model behave differently than the other assets, or when the time period considered is very volatile. For …