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Tick Size Reductions effect on provisions of Liquidity: Research on the Stockholm Stock Exchange
Jönköping University, Jönköping International Business School, JIBS, Business Administration.
2015 (English)Independent thesis Advanced level (degree of Master (One Year)), 20 credits / 30 HE creditsStudent thesis
Abstract [en]

The tick size of a security has acted as powerful tool for regulators to improve market quality, encourage trade, and create fair competition in trading venues. As a result, The Federation of European Securities Exchange (FESE) has long been concerned with finding an optimal tick size regime to implement across exchanges in Europe. From 2009-2010, The FESE and the Stockholm Stock Exchange (SSE) implemented the FESE tick size table 2 for 81 Large Cap stocks in a collaborative effort to enhance the overall market quality for all of its participants. This study investigates the FESE tick size table 2 that was implemented in October 2009 and June 2010 on the SSE and its impact on Large Cap stocks in term of liquidity.

Through the measurement and analysis of the three commonly used features of liquidity (bid-ask spread, depth, and trade volume), the study suggests that the provisions of liquidity increased due to the implementation of the FESE tick size table 2 overall, improving market quality and encouraging trade amongst its participants.

Place, publisher, year, edition, pages
2015. , p. 38
Keywords [en]
Tick size, Public limit order book, bid-ask spread, depth, trade volume, liquidity
National Category
Economics
Identifiers
URN: urn:nbn:se:hj:diva-26545ISRN: JU-IHH-FÖA-2-20150067OAI: oai:DiVA.org:hj-26545DiVA, id: diva2:811465
Subject / course
IHH, Business Administration
Supervisors
Available from: 2015-06-15 Created: 2015-05-12 Last updated: 2015-06-15Bibliographically approved

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Tick Size Reductions effect on provisions of Liquidity by Fritjof Kjell (May 2015)(929 kB)190 downloads
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CiteExportLink to record
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Citation style
  • apa
  • ieee
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