The effect of tick size on price clustering and trading volume
Article Abstract:
The effect of the size of the trading tick, which is the minimum amount by which prices can change, on price clustering and trading volume was investigated when the minimum price change varies with price level. Results showed that a small trading tick tends to worsen price clustering. Moreover, a reduction in tick size tends to enhance trading volume more if the stocks are heavily traded. Thus, past investigations on other stock markets have exaggerated the advantages of a smaller trading tick to traders.
Publication Name: Journal of Business Finance and Accounting
Subject: Business
ISSN: 0306-686X
Year: 1998
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The effect of price limits on stock price volatility: empirical evidence in Korea
Article Abstract:
The 1987 stock market crash generated renewed interest in stock price volatility. Particular focus was given to 'noise,' where volatility is not conditioned by fundamental value changes. Minimal evidence has been gathered to support circuit breaker mechanisms as tools to prevent another crash. Research in Korea's securities markets on price limit portfolios showed that such limits decreased stock price volatility.
Publication Name: Journal of Business Finance and Accounting
Subject: Business
ISSN: 0306-686X
Year: 1995
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An empirical analysis of the causal relationship between short interest and stock prices
Article Abstract:
The causal relationship between short interest and stock prices is analyzed. Results showed that a unit root emerges from the univariate time series representations of stock prices, short interest and average trading volume series. Based on the results of a multivariate analysis, stock prices were found to positively and significantly influence average trading volume.
Publication Name: Journal of Business Finance and Accounting
Subject: Business
ISSN: 0306-686X
Year: 1995
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