Earticle

초록

영어

Large tick sizes imposed on high-price stocks on the Korea Stock Exchange (KSE) are significant binding constraints on bid-ask spreads. Nearly 60% of quoted spreads are equal to the tick size for stocks with the largest tick size. The average spread of KSE stocks is smaller than that of the matched sample of New York Stock Exchange (NYSE) stocks, although the average spread of KSE stocks that belong to larger tick size groups is greater than that of matched NYSE stocks. These results suggest that the KSE’s electronic limit order market provides cheaper executions than the NYSE’s specialist system for our matched sample of stocks, and the KSE could further reduce trading costs if the large tick sizes imposed on highprice stocks are replaced with smaller ones.

목차

Abstract
 1. Introduction
 2. Data sources and error filters
 3. Tick sizes and trading costs on the Korea Stock Exchange
  3.1. Variable measurement
  3.2. Tick sizes and trading costs
 4. Projection of trading costs
  4.1. Discrete spread model
  4.2. Quoted depths and binding probability
  4.3. Do large tick sizes discourage information-based trading?
 5. Comparison of the spreads of KSE and NYSE stocks
  5.1. Matching procedure and sample characteristics
  5.2. Comparison of trading costs between matched KSE and NYSE stocks
 6. Summary and concluding remarks
 References

키워드

저자

• Kee H. Chung [ Department of Finance and Managerial Economics, State University of New York (SUNY) at Buffalo, Buffalo, NY 14260, USA ] Corresponding author
• Jangkoo Kang [ Graduate School of Finance, Korea Advanced Institute of Science and Technology, Chungnyangni-dong, Dongdaemoon-gu, Seoul, Korea ]
• Joon-Seok Kim [ Graduate School of Finance, Korea Advanced Institute of Science and Technology, Chungnyangni-dong, Dongdaemoon-gu, Seoul, Korea ]

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  한국재무학회 학술대회

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  2006~2024

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