Eighths, Sixteenths and Market Depth: Changes in Tick Size and Liquidity Provision on the Nyse

By Michael A. Goldstein, Kenneth A. Kavajecz. 2000

415 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/c612816d564bfa341d9c98d27c94bba476e0bbd6

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Citations in the corpus

Tick Size, Bid-Ask Spreads, and Market Structure (2001, background): “Bollen and Whaley (1998) and Goldstein and Kavajecz (1998) examine this change.”
Limit order book as a market for liquidity (2001, neutral): “Intuitively, traders are indistinguishable if the two waiting costs fall into the same cell on the grid: [0;¢); [¢; 2¢); [2¢; 3¢); :::.(15)”
The Diversity of High-Frequency Traders (2013, neutral): “Moreover, Goldstein and Kavajecz (2000) state that tick size changes have important implications for the supply of liquidity, trading by different market participants, and order submission strategies.”
Block Ownership, Trading Activity, and Market Liquidity (2009, positive): “Consistent with Goldstein and Kavajecz (2000) and Bessembinder (2003), our liquidity measures, including relative quoted and effective spreads and quoted depths, decreased over our sample period.”
Liquidity Beyond the Inside Spread: Measuring and Using Information in the Limit Order Book (2000, neutral): “Goldstein and Kavajecz (2000) use the limit order book to show”
Market Structure and Trading Volume (2005, background): “Goldstein and Kavajecz (2000) report that this change”
Limit Order Markets: A Survey 1 (2008, background): “The 5See Goldstein and Kavajecz (2000) and Jones and Lipson (2001) for evidence consistent with predictions in Harris (1994) and Seppi (1997).”
How Well Do Adverse Selection Components Measure Adverse Selection (2001, background): “Thus, we can control for stock price and measure the information cost of trading for a given dollar trade.4 3 See Bessembinder (1999), Goldstein and Kavajecz (2000) and Jones and Lipson (2000) for discussion of the impact of the tick size reduction.”
Modeling the bid/ask spread: measuring the inventory-holding premium ☆ (2004, background): “…market structure (e.g., Bessembinder and Kaufman, 1997; Ellis, Michaely and O'Hara, 2002), tick size (e.g, Bacidore, 1997; Bollen and Whaley, 1998; Goldstein and Kavajecz, 2000; Jones and Lipson, 2001; Bessembinder, 2003), and order-processing rules (e.g, Bessembinder, 1999; Weston, 2000).”
Trade Execution Costs and Market Quality after Decimalization (2003, background): “cents) were studied extensively (see Harris (1997) for a survey, and Jones and Lipson (2001) and Goldstein and Kavajecz (2000) for more recent evidence).”
Liquidity Cycles and Make/Take Fees in Electronic Markets (2013, neutral): “Then, plugging (72), (73), and (74) into equations ( 18 ) and (19), we obtain the”