MINIMUM PRICE VARIATIONS, DISCRETE BID-ASK SPREADS, AND QUOTATION SIZES
MINIMUM PRICE VARIATIONS, DISCRETE BID-ASK SPREADS, AND QUOTATION SIZES
复制标题
DOI：
10.1093/rfs/7.1.149
复制
发表时间：
1994-03-01
影响因子：
8.2
通讯作者：
HARRIS, LE
中科院分区：
文献类型：
--
作者：
HARRIS, LE
交易所最低价格变动规定创造了离散的买卖价差。如果最低报价价差超过了其他报价的价差，价差就会很大，买卖双方的股票数量可能会很大。利用股价日内价差频率估计了一个横断面离散价差模型。结果用于预测1/16美元点差的使用频率。报价规模和交易量的预计变化是通过回归模型得到的。对于价格低于10美元的股票，模型预测价差将缩小38%，报价规模将缩小16%，日交易量将增加34%。
Exchange minimum price variation regulations create discrete bid-ask spreads. If the minimum quotable spread exceeds the spread that otherwise would be quoted, spreads will be wide and the number of shares offered at the bid and ask may be large. A cross-sectional discrete spread model is estimated by using intraday stock quotation spread frequencies. The results are used to project $1/16 spread usage frequencies given a $1/16 tick. Projected changes in quotation sizes and in trade volumes are obtained from regression models. For stocks priced under $10, the models predict spreads would decrease 38 percent, quotation sizes would decrease 16 percent, and daily volume would increase 34 percent.