The Impact of Tick Size Reduction on NYSE: A Difference-In-Difference Analysis 公开

Wang, Jun (2013)

Permanent URL: https://etd.library.emory.edu/concern/etds/fj236222n?locale=zh
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Abstract

In this article, a before-and-after analysis of daily variation in bid-ask spreads, market liquidity, market depth, and Amihud's Measure is used to research the tick-size reduction on New York Stock Exchange (NYSE) in 1997. In order to eliminate the impact of other possible factors, I assign the trade and quote data from Toronto Stock Exchange (TSX) as a control group. The empirical results show that spreads, which represent the trading costs, declined significantly after the switch, while market liquidity and depth slightly improved. Yet no hasty conclusions can be made for Amihud's measure, a measurement of the price impact. The results are consistent with my conjecture that, the trading cost will decline, while liquidity of the market improves. In this paper, a "Difference-In-Difference" model and panel data regression is used to estimate these outcomes.

Table of Contents

Table of Contents

Introduction 1

literature review 2

data and methodology 7

data source 7

Measures 9

Difference-in-difference model 1 1

hypotheses 1 3

Empirical results 1 4

descriptive statistics 1 4

company fixed effects 1 6

spread and trading costs 16

market depth and market liquidity 1 8

price impa c t 1 9

conclusions, limitations, and extensions 20

conclusions 20

limitations 21

extensions 21

Reference 2 3

tables 2 4

table I 2 6

table II 2 6

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