رقم اعشاری، کژ گزینی و اجاره بهای بازار ساز
|کد مقاله||سال انتشار||مقاله انگلیسی||ترجمه فارسی||تعداد کلمات|
|50301||2001||27 صفحه PDF||سفارش دهید||10366 کلمه|
Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)
Journal : Journal of Banking & Finance, Volume 25, Issue 5, May 2001, Pages 829–855
I address the issue of how decimalization impacts the information acquisition decision of traders. I show that traders have less of an incentive to improve the quality of their information and, consequently, trades tend to be less informative following a reduction in the minimum tick. This result is consistent with the empirical finding that reductions in the minimum tick lead to declines in the adverse selection component, a finding counter to the theoretical predictions in the literature. This result also explains how the predicted savings from decimalization can exceed even total market maker profits. In addition, I show that even if market makers are perfectly competitive, a minimum tick can lead to multiple spread equilibria, some of which being more than one tick away from the underlying, or “no-tick”, equilibrium spread. Finally, I discuss the implications of the model for payment for order flow/internalization and the existence of an optimal tick size.