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• W2133997657 abstract "Tick size is an important aspect of the micro-structural level organization of financial markets. It is the smallest institutionally allowed price increment, has a direct bearing on the bid–ask spread, influences the strategy of trading order placement in electronic markets, affects the price formation mechanism, and appears to be related to the long-term memory of volatility clustering. In this paper we investigate the impact of tick size on stock returns. We start with a simple simulation to demonstrate how continuous returns become distorted after confining the price to a discrete grid governed by the tick size. We then move on to a novel experimental set-up that combines decimalization pilot programs and cross-listed stocks in New York and Toronto. This allows us to observe a set of stocks traded simultaneously under two different ticks while holding all security-specific characteristics fixed. We then study the normality of the return distributions and carry out fits to the chosen distribution models. Our empirical findings are somewhat mixed and in some cases appear to challenge the simulation results." @default.
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• W2133997657 date "2009-02-01" @default.
• W2133997657 modified "2023-10-01" @default.
• W2133997657 title "Tick size and stock returns" @default.
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• W2133997657 doi "https://doi.org/10.1016/j.physa.2008.10.014" @default.
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