Chung, Kee H.
[Verfasser:in]
;
Kim, Kenneth
[Sonstige Person, Familie und Körperschaft];
Chatjuthamard, Pattanaporn
[Sonstige Person, Familie und Körperschaft]
Liquidity and Quote Clustering in a Market with Multiple Tick Sizes
Anmerkungen:
In: Journal of Financial Research, Forthcoming
Beschreibung:
We analyze market liquidity (i.e., spreads and depths) and quote clustering using data from the Kuala Lumpur Stock Exchange (KLSE), where the tick size increases with share price in a stepwise fashion. We find that stocks that are subject to larger mandatory tick sizes have wider spreads and less quote clustering. We also find that liquidity providers on the KLSE do not always quote larger depths for stocks with larger tick sizes. Overall, our results suggest that larger tick sizes for higher priced stocks are detrimental to market liquidity, although the adverse effect of larger tick sizes is mitigated by lower negotiation costs (i.e., less quote clustering)