The impact of minimum tick size on the liquidity of the New Zealand stock market
| aut.embargo | No | en_NZ |
| aut.thirdpc.contains | No | en_NZ |
| aut.thirdpc.permission | No | en_NZ |
| aut.thirdpc.removed | No | en_NZ |
| dc.contributor.advisor | Frijns, Bart | |
| dc.contributor.author | Chang, Miaozhen | |
| dc.date.accessioned | 2014-06-30T04:22:38Z | |
| dc.date.available | 2014-06-30T04:22:38Z | |
| dc.date.copyright | 2014 | |
| dc.date.created | 2014 | |
| dc.date.issued | 2014 | |
| dc.date.updated | 2014-06-30T03:48:10Z | |
| dc.description.abstract | This study consider the impact of minimum tick size (MTS) on the liquidity of the New Zealand stock market, where the MTS reduce from $0.01 to $0.005 for 17 stocks in 2011. I analyse stock market liquidity (i.e., spreads and depths) using data from New Zealand stock market. Sometimes, a large MTS would be a binding constraint on the bid ask spread, therefore, large execution cost (Harris, 1994). Asicoglu, Comerton-Forde and McInish (2010) find that there is a significant relationship between MTS and trade size, the number of trades, and price. In my study, I test the binding constraint probability and the relation between the MTS and the stock characteristics. The empirical results show the current MTS is a binding constraint for stocks with price less than $0.20. The trading volume is strongly positive correlated with proportion of spread equal to MTS. However, the relationship with market capitalization is weak. | en_NZ |
| dc.identifier.uri | https://hdl.handle.net/10292/7389 | |
| dc.language.iso | en | en_NZ |
| dc.publisher | Auckland University of Technology | |
| dc.rights.accessrights | OpenAccess | |
| dc.subject | Minimum tick size | en_NZ |
| dc.subject | New Zealand stock market | en_NZ |
| dc.subject | Liqudity | en_NZ |
| dc.title | The impact of minimum tick size on the liquidity of the New Zealand stock market | en_NZ |
| dc.type | Dissertation | |
| thesis.degree.discipline | ||
| thesis.degree.grantor | Auckland University of Technology | |
| thesis.degree.level | Masters Dissertations | |
| thesis.degree.name | Master of Business | en_NZ |