 Tick Size Reduction and Liquidity Dimensions: Evidence from an Emerging MarketQuoc-Khang Pham ()
A chapter in Contemporary Trends and Challenges in Finance, 2021, pp 87-101 from Springer Abstract: Abstract The paper presents an analysis of the tick size adjustment on an order-driven market in an emerging country. The Vietnamese stock market introduces a new tick size system that sets four different tick sizes based on the stock price on 12 September 2016. Researchers argue that multidimensional aspects characterize market liquidity. The article classifies three dimensions of market liquidity: tightness, depth, and resilience. The study investigates the variation of liquidity dimensions following the changes in a minimum tick size on the Vietnamese stock market. The paper employs seven liquidity measures to proxy for three liquidity dimensions: quoted spread, effective spread, trading volume, trading value, Amihud (2002) measure, turnover ratio, and market efficiency coefficient. Using the Wilcoxon signed-rank test, the study examines the difference in liquidity proxies between the pre- and post-periods. The empirical evidence illustrates that tightness dimensions decline significantly during the post-periods. The proxies of the depth and resilience dimensions illustrate greater illiquidity following a reduction in tick size. Date: 2021 There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it. Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:spr:prbchp:978-3-030-73667-5_6 Ordering information: This item can be ordered from DOI: 10.1007/978-3-030-73667-5_6 Access Statistics for this chapter More chapters in Springer Proceedings in Business and Economics from Springer |
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