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- W3082994547 abstract "Abstract Using limit order book data, this study investigates the effects of minimum tick size reduction on price discovery and order submission strategies during the preopen call auction period in the Tokyo Stock Exchange. Studying the largest stocks' changes before and after the tick size reduction, our findings suggest that price discovery becomes more efficient when a smaller tick size is employed. A reduction in tick size induces a decrease in market depth and spread and enhances the speed of price discovery by encouraging more aggressive order to be placed and providing investors a better learning and communicating environment to incorporate information into order decisions. Our results demonstrate that, although orders are not matched and no transaction occurs during the preopen period, the order placement at these moments is neither necessarily noisy nor completely manipulative; factors that impact the investor's order choice during the normal trading period also work in this period." @default.
- W3082994547 created "2020-09-11" @default.
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- W3082994547 date "2020-10-01" @default.
- W3082994547 modified "2023-10-18" @default.
- W3082994547 title "Price discovery, order submission, and tick size during preopen period" @default.
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- W3082994547 doi "https://doi.org/10.1016/j.pacfin.2020.101428" @default.
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