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Tick ??Size and Market Quality

Author: LiuJian
Tutor: CaoYanPing
School: Dongbei University of Finance
Course: Quantitative Economics
Keywords: Tick ??Size Closed-end funds Mobility Volatility Effectiveness
CLC: F830.91
Type: Master's thesis
Year: 2003
Downloads: 96
Quote: 0
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Abstract


In this paper, Shanghai closed-end funds offer the smallest unit \The results showed that: a minimum offer unit \closed-end fund's price volatility; Third, the minimum quote size of the unit will affect market efficiency, \This paper consists of five chapters: The first chapter introduces the stock market tick size rules; then discusses the quality of the market in four areas: liquidity, volatility, effectiveness and transparency. The second chapter examines the tick size reduction of the impact on market liquidity, this chapter first defines liquidity indicators, gives a method of calculating the index. Then tick size reduced impact on market liquidity of the research literature conducted a more complete overview. Finally empirical analysis \In the third chapter, this paper analyzes the data of the timing characteristics of transactions on the basis of transactions is established based on the data model of price volatility, with this touch-type analysis of the \the impact of volatility. The fourth chapter discusses the tick size reduction on market efficiency. This chapter using the serial correlation test and runs test analyzes the various funds that offer the smallest unit is \The results showed that: the minimum offer units as \funds that are subject to short-term price behavior of a random walk. Namely: Tick Size \Chapter Summary of the main conclusions, pointing out that the point of this article and innovation inadequacies.

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CLC: > Economic > Fiscal, monetary > Finance, banking > Finance, banking theory > Financial market > Securities market
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