This study examines the impact of reducing tick size and, in particular decimalization on stock splits. Based on previous studies, this study examines hypotheses in the following three areas: first, market reaction around stock split announcement and ex-dates, second, the effect of tick size on liquidity after stock split ex-dates, and third, the effect of tick size on return volatility after stock split ex-dates. The impact of tick size on market reaction around split announcement and ex-dates is measured by abnormal returns and buy and hold abnormal returns (BHARs). Also, this study investigates the long term impact of decimalization on market reaction for small, medium, and large firms for the three different tick size periods. The effect of tick size on liquidity after stock split ex-dates is measured by turnover, relative bid ask spread, and market maker count. The effect of tick size on return volatility around stock split announcement and ex-dates is measured by return standard deviation. Also, this study investigates the long term impact of decimalization on volatility after split ex-dates for small, medium, and large firms for three different tick size periods.
| Identifer | oai:union.ndltd.org:unt.edu/info:ark/67531/metadc407794 |
| Date | 12 1900 |
| Creators | Jang, Seon Deog |
| Contributors | Impson, Michael, Karafiath, Imre, 1955-, Pavur, Robert |
| Publisher | University of North Texas |
| Source Sets | University of North Texas |
| Language | English |
| Detected Language | English |
| Type | Thesis or Dissertation |
| Format | Text |
| Rights | Public, Jang, Seon Deog, Copyright, Copyright is held by the author, unless otherwise noted. All rights Reserved. |
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