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A Tale of Two Consequences

Ravi Kashyap
The Journal of Trading Fall 2015, 10 (4) 51-95; DOI: https://doi.org/10.3905/jot.2015.10.4.051
Ravi Kashyap
is a quantitative specialist at Markit and a research affiliate of the City University of Hong Kong in Hong Kong, China.
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  • For correspondence: ravi.kashyap@stern.nyu.edu
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Abstract

This article looks at the effect of the tick size changes by the Tokyo Stock Exchange on January 14, 2014, and July 22, 2014, on the TOPIX 100 index stocks. The intended consequence of the change is price improvement and shorter time to execution. The author examines at security level metrics, including the spread, trading volume, number of trades, and the size of trades to establish whether this goal is accomplished. An unintended effect might be the reduction in execution sizes, which would then mean that institutions with large orders would have greater difficulty in sourcing liquidity. He looks at a sample of real orders to see if the execution costs have gone up across the orders since the implementation of this change.

TOPICS: Big data/machine learning, exchanges/markets/clearinghouses, developed

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The Journal of Trading: 10 (4)
The Journal of Trading
Vol. 10, Issue 4
Fall 2015
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A Tale of Two Consequences
Ravi Kashyap
The Journal of Trading Sep 2015, 10 (4) 51-95; DOI: 10.3905/jot.2015.10.4.051

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A Tale of Two Consequences
Ravi Kashyap
The Journal of Trading Sep 2015, 10 (4) 51-95; DOI: 10.3905/jot.2015.10.4.051
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  • Article
    • Abstract
    • THE VENUE MENU AND HOW TO INCREASE REVENUE
    • BIRD’S-EYE VIEW
    • Bird’s-Eye View Results
    • DEEP DIVE
    • POSSIBILITIES FOR A DEEPER DIVE
    • DOES TICK SIZE MATTER? TICK SIZE DOES MATTER!
    • APPENDIX A
    • APPENDIX B
    • ENDNOTES
    • REFERENCES
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