This study examines the stocks of 1, 339 companies that began decimal trading on the NYSE on January 29, 2001. Using the price impact of a trade as a measure of liquidity, the author finds that decimalization typically led to an improvement in liquidity.Liquidity (Economics) ; Stock market ; Stocks

Craig H. Furbine

Research Papers in Economics

English

Bid, ask, and transaction prices in a specialist market with heterogeneously informed traders,”

Decimal trading and market impact,” Purdue University, working paper.

Eighths, sixteenths, and market depth: Changes in tick size and liquidity provision on the NYSE,”

Inferring trade direction from intraday data,”

Liquidity provision with limit orders and a strategic specialist,”

Measuring the information content of stock trades,”

Minimum price variations, discrete bid-ask spreads, and quotation sizes,”

Order submission strategies, liquidity supply, and trading in pennies on the New York Stock Exchange,”

Trade execution costs and market quality after decimalization,”

Decimalization and market liquidity