Access the full text.
Sign up today, get DeepDyve free for 14 days.
W. Krämer, R. Runde (1997)
Chaos and the compass roseEconomics Letters, 54
Chen An-Sing (1997)
The square compass rose: the evidence from TaiwanJournal of Multinational Financial Management, 7
George Szpiro (1998)
Tick size, the compass rose and market nanostructureJournal of Banking and Finance, 22
Kimberly Gleason, Chun Lee, I. Mathur (2000)
An explanation for the compass rose patternEconomics Letters, 68
Bacidore Bacidore (1997)
The Impact of Decimalisation on Market Quality: An Empirical Investigation of the Toronto Stock ExchangeJournal of Financial Intermediation, 6
Gregory MacKinnon, Howard Nemiroff (1999)
Liquidity and Tick Size: Does Decimalization Matter?Journal of Financial Research, 22
(2001)
Are Nasdaq Stocks More Costly to Trade than NYSE Stocks ? Evidence After Decimalisation , Working Paper
Chun Lee, Kimberly Gleason, I. Mathur (1999)
A comprehensive examination of the compass rose pattern in futures marketsJournal of Futures Markets, 19
T. Crack, Olivier Ledoit (1996)
Robust Structure Without Predictability: The "Compass Rose" Pattern of the Stock MarketJournal of Finance, 51
Kee Chung, Bonnie Ness, R. Ness (2001)
Are NASDAQ Stocks More Costly to Trade than NYSE Stocks? Evidence after DecimalizationCapital Markets: Market Microstructure eJournal
Jeffrey Bacidore (1996)
The Impact of Decimalization on Market Quality: An Empirical Investigation of the Toronto Stock ExchangeCapital Markets eJournal
(2001)
Are Nasdaq Stocks More Costly to Trade than NYSE Stocks? Evidence After Decimalisation, Working Paper (http:// www.nyse.com/pdfs/nyse_nasdaq_postdecimal.pdf)
H. Levene (1961)
Robust tests for equality of variances
Chun Lee, I. Mathur, Kimberly Gleason (2005)
The tick/volatility ratio as a determinant of the compass rose patternThe European Journal of Finance, 11
David Hsieh (1991)
Chaos and Nonlinear Dynamics: Application to Financial MarketsJournal of Finance, 46
Huaiqing Wang, Chen Wang (2002)
Visibility of the compass rose in financial asset returns: A quantitative studyJournal of Banking and Finance, 26
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.
Accounting & Finance – Wiley
Published: Nov 1, 2003
Read and print from thousands of top scholarly journals.
Already have an account? Log in
Bookmark this article. You can see your Bookmarks on your DeepDyve Library.
To save an article, log in first, or sign up for a DeepDyve account if you don’t already have one.
Copy and paste the desired citation format or use the link below to download a file formatted for EndNote
Access the full text.
Sign up today, get DeepDyve free for 14 days.
All DeepDyve websites use cookies to improve your online experience. They were placed on your computer when you launched this website. You can change your cookie settings through your browser.