Relationships And Rationing In Consumer Loans: Evidence From Nineties

Using high-frequency data and a carefully constructed 1-1 match sample of control (non-decimal) stocks, the author isolates the effects of decimalization for sample of NYSE-listed common stocks trading in decimals. It's found that both quoted and effective bid-ask spreads and depths have declined significantly in all trade size, as well as in all stock size, categories. Stock return volatilities display an initial increase but a decline over the longer term - probably as traders become more comfortable in their new mileu. Finally, although there is some evidence of increased presence among regional stock exchanges in the wake of decimalization, the NYSE still appears to be very much in the lead in all categories.

Provided by: Purdue University (Krannert) Topic: Software Date Added: Jan 2002 Format: PDF

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