Working Papers in Economics,
University of Bergen, Department of Economics

Abstract: I assess the causal impact of increasing the tick size on stock liquidity and trading volume in illiquid stocks. Using a regression discontinuity design at the Oslo Stock Exchange, I find that increasing the tick size has no impact on the transaction costs,order book depths, or trading volumes of illiquid stocks. These findings contradict recent theoretical predictions in the market microstructure literature as well as proposals by lawmakers in the United States to increase the tick size for illiquid stocks.

Keywords: Equity Trading; Limit Order Markets; Tick Sizes

JEL-codes: G10; G20

39 pages, June 21, 2017

Full text files

wp%2006-17.pdf  Full text

Download statistics

• University of Bergen, Department of Economics
• Home page for this series

Questions (including download problems) about the papers in this series should be directed to Kjell Erik Lommerud ()
Report other problems with accessing this service to Sune Karlsson ().

RePEc:hhs:bergec:2017_006This page generated on 2024-10-27 22:37:47.