The impact of tick size on intraday stock price behavior: evidence from the Taiwan Stock Exchange
β Scribed by Mei-Chu Ke; Ching-Hai Jiang; Yen-Sheng Huang
- Book ID
- 117627907
- Publisher
- Elsevier Science
- Year
- 2004
- Tongue
- English
- Weight
- 242 KB
- Volume
- 12
- Category
- Article
- ISSN
- 0927-538X
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π SIMILAR VOLUMES
## Abstract We investigate the price discovery role of an exchangeβtraded fund and the futures contract for the same market index. We find that the fund predicts the index in the subperiod after but not in the subperiod before a substantial decrease in the minimum tick size. The futures predict the
## Abstract This study examines the competition in price discovery among stock index, index futures, and index options in Taiwan. The priceβdiscovery ability of the Taiwan Top 50 Tracker Fund, an exchangeβtraded fund based on the Taiwan 50 index is examined. The authors find that, after the minimum