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Two essays in market microstructure.

Zhao, Xin.

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Two essays in market microstructure.

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Two essays in market microstructure./
作者:	Zhao, Xin.
面頁冊數:	87 p.
附註:	Source: Dissertation Abstracts International, Volume: 65-08, Section: A, page: 3103.
Contained By:	Dissertation Abstracts International65-08A.
標題:	Economics, Finance. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3141380
ISBN:	049688512X

Two essays in market microstructure.
Zhao, Xin.

Two essays in market microstructure. - 87 p.

Source: Dissertation Abstracts International, Volume: 65-08, Section: A, page: 3103.

Thesis (Ph.D.)--State University of New York at Buffalo, 2004.

Essay 1: Information disclosure and market quality: The effect of SEC Rule 11Ac1-5 on trading cost. The Securities and Exchange Commission adopted Rule 11Ac1-5 on November 15, 2000. The rule requires market centers to make monthly electronic disclosures of basic information regarding execution quality. The rule is intended to empower market forces with the means to achieve a more competitive and efficient national market system by increasing the visibility of execution quality. We find that the quoted, effective, and realized spreads of our sample of NYSE and AMEX stocks declined significantly after the rule implementation. The decline cannot be attributed to concurrent changes in stock attributes or the effect of decimal pricing. Although the quoted depth of NYSE stocks also declined, overall market quality is higher after the rule implementation because the increase in liquidity associated with narrower spreads is greater than the decrease in liquidity associated with smaller depths.

ISBN: 049688512XSubjects--Topical Terms:

626650
Economics, Finance.

Two essays in market microstructure.
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520 $a Essay 2: Tick size and information-based trading. Prior studies provide little evidence as to the effect of tick size on the behaviors of informed traders. We find that the probability of information-based trading (PIN) is higher after decimalization for a large sample of NYSE stocks. Information-based trading is greater after decimalization for stocks with higher proportion of one-tick spreads, and for stocks with higher volume and lower price. We find a significant reduction in the order processing cost/market maker rent component of spreads after decimalization. We conclude that finer price grids result in greater competition between limit-order traders and market makers.
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