دانلود مقاله ISI انگلیسی شماره 48991
عنوان فارسی مقاله

اثر اعشاری کردن بر روی اجزای اسپرد قیمت خرید و فروش

کد مقاله سال انتشار مقاله انگلیسی ترجمه فارسی تعداد کلمات
48991 2003 28 صفحه PDF سفارش دهید محاسبه نشده
خرید مقاله
پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.
عنوان انگلیسی
The effect of decimalization on the components of the bid-ask spread
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Journal of Financial Intermediation, Volume 12, Issue 2, April 2003, Pages 121–148

کلمات کلیدی
اعشاری کردن - اجزای اسپرد قیمت خرید و فروش - اجاره بازار ساز
پیش نمایش مقاله
پیش نمایش مقاله اثر اعشاری کردن بر روی اجزای اسپرد قیمت خرید و فروش

چکیده انگلیسی

Previous empirical studies that decompose the bid-ask spread were done when securities traded in discrete price points equal to one-sixteenth or one-eighth of a dollar. These studies concluded that inventory and adverse-selection costs were economically insignificant compared to order-processing costs. Natural questions arise as to: (i) whether price discreteness allowed market makers to enjoy excess rents, thus reducing the significance of the inventory and adverse selection costs; (ii) whether discreteness decreased the traders' incentives to gather information; or (iii) whether methodologies previously employed mis-estimated the inventory and the adverse-selection costs. We show that the recent conversion to decimal pricing results in significantly tighter spreads. However, the dollar value of spreads attributed to adverse selection and inventory costs do not change significantly. Almost all of the reduction occurs in the order-processing component. As a result, inventory and adverse-selection costs now account for a significantly larger proportion of the traded spreads. A plausible explanation is that the minimum tick size constraint previously in place under fractional pricing allowed market makers to enjoy spreads that were larger than their actual costs.

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