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The tick/volatility ratio as a determinant of the compass rose: empirical evidence from decimalisation on the NYSE

The tick/volatility ratio as a determinant of the compass rose: empirical evidence from... Recent research suggests that volatility has an important role to play in the appearance of the compass rose pattern. The introduction of decimal prices on the New York Stock Exchange (NYSE) provides an ideal opportunity to test this hypothesis using actual market data. The empirical evidence presented in this paper suggests that the 85 per cent reduction in the tick/volatility ratio resulting from the decimalisation of prices was not sufficient to eliminate the compass rose pattern. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Accounting & Finance Wiley

The tick/volatility ratio as a determinant of the compass rose: empirical evidence from decimalisation on the NYSE

Accounting & Finance , Volume 43 (3) – Nov 1, 2003

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References (16)

Publisher
Wiley
Copyright
Copyright © 2003 Wiley Subscription Services, Inc., A Wiley Company
ISSN
0810-5391
eISSN
1467-629X
DOI
10.1111/j.1467-629x.2003.00094.x
Publisher site
See Article on Publisher Site

Abstract

Recent research suggests that volatility has an important role to play in the appearance of the compass rose pattern. The introduction of decimal prices on the New York Stock Exchange (NYSE) provides an ideal opportunity to test this hypothesis using actual market data. The empirical evidence presented in this paper suggests that the 85 per cent reduction in the tick/volatility ratio resulting from the decimalisation of prices was not sufficient to eliminate the compass rose pattern.

Journal

Accounting & FinanceWiley

Published: Nov 1, 2003

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