In:
Managerial Finance, Emerald, Vol. 40, No. 3 ( 2014-3-4), p. 218-233
Abstract:
– This paper aims to examine the impact of a reduction in tick size on the information content of the order book by using data from the Taiwan Stock Exchange (TWSE). Design/methodology/approach – To estimate the information content of the order book, the modified information share proposed by Hasbrouck and extended by Lien and Shrestha is used in this paper. Findings – The empirical results show that the limit order book is informative. Furthermore, the results indicate that a reduction in tick size will decrease the information content of the order book and the decrease in the information content of the order book is positively related to the thinner order book. Originality/value – This paper suggests that, in order to enhance the information content of the order book, the TWSE should disclose the full limit order book.
Type of Medium:
Online Resource
ISSN:
0307-4358
DOI:
10.1108/MF-11-2012-0238
Language:
English
Publisher:
Emerald
Publication Date:
2014
detail.hit.zdb_id:
2047612-7
SSG:
3,2
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