Sökning: "Jesper Welander and Emelie Jonsson"

Hittade 1 uppsats innehållade orden Jesper Welander and Emelie Jonsson.

  1. 1. Tick sizes and stock market volatility: A regression discontinuity approach

    C-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Emelie Jonsson; Jesper Welander; [2012]
    Nyckelord :Tick size; volatility; high-frequency trading; the Stockholm Stock Exchange;

    Sammanfattning : Increasing the tick size has been suggested as a countermeasure to high volatility on stock markets caused by growing high-frequency trading. To identify the potential effects of such an increase, we isolate the effect of the tick size change on volatility through a regression discontinuity design (RDD), utilizing the sharp increase in the tick size at 100 SEK where the tick size changes from 0. LÄS MER