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Impacto de cambios en los ticks: La introduccion del euro en el mercado bursátil español
David Abad Díaz and Mikel Tapia |
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This study analyses the repercussions of the existence of minimum price variations (ticks) to different market variables. Specifically, we focus on the behavior of bid-ask spread, market depth, trading activity, volatility and investor order submission strategies. We use the change which occurred to minimum price variations as a consequence of the introduction of euro pricing on January 4th 1999. This event allows us to obtain a stock sample with a reduced tick size (MRED) and another whose tick increased slightly (AUM). The methodology used here is descriptive and focuses on the comparison of variable behavior under each minimum price variation. In general, the evidence obtained in this study shows the important role of tick size as a cost of acquiring priority in the book and as the lowest limit of the bid-ask spread that can be quoted. The results obtained help us to a better understanding of the trading process under discrete pricing and, although they do not answer the important question about the existence of an optimal tick size, they indicate several advantages and disadvantages of different tick sizes.
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