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Impacto Sobre El Mercado Bursatil Español De Los Cambios En Las Variaciones Mínimas De Precios Tras La Introducción Del Euro

Author

Listed:
  • David Abad

    (Universidad de Alicante)

  • Mikel Tapia

    (Universidad Carlos III de Madrid)

Abstract
This study analyses the repercussions of the existence of minimum price variations(ticks) to different market variables. Specifically, we focus on the behaviour of bid-askspread, market depth, trading activity, volatility and investor order submission strategies. Weuse the change which occurred to minimum price variations as a consequence of theintroduction of euro pricing on January 4th 1999. This event allows us to obtain a stocksample with a reduced tick size (MRED) and another whose tick increased slightly (AUM).The methodology used here is descriptive and focuses on the comparison of variablebehaviour under each minimum price variation. In general, the evidence obtained in this studyshows the important role of tick size as a cost of acquiring priority in the book and as thelowest limit of the bid-ask spread that can be quoted. The results obtained help us to a betterunderstanding of the trading process under discrete pricing and, although they do not answerthe important question about the existence of an optimal tick size, they indicate severaladvantages and disadvantages of different tick sizes. En este trabajo se examinan las repercusiones que el uso de variaciones mínimas de precios (ticks) tiene sobre distintas variables indicativas de la calidad del mercado español. En concreto, las variables analizadas han sido la horquilla de precios, la profundidad, el nivel de actividad, la volatilidad y la introducción de órdenes por parte de los agentes. Para ello, hemos aprovechado el cambio producido en los ticks de variación, dada la nueva cotización en euros a partir del 4 de Enero de 1999, lo que nos ha permitido obtener una muestra de activos cuya variación mínima se ha reducido (MRED) y otra cuyo tick ha sufrido un pequeño aumento (AUM). La metodología empleada es descriptiva y se basa en la comparación de las variables propuestas cuando los activos se negocian con una u otra variación mínima. En general, la evidencia obtenida supone un importante respaldo al doble papel jugado por el tick de variación como coste de adquirir prioridad a través del precio y como límite inferior de la horquilla que pueden ser cotizada en el mercado. Los diferentes resultados obtenidos nos ayudan a entender mejor el proceso de intercambio bajo precios discretos y aunque no se ofrecen todas las claves que permitan resolver la pregunta sobre la existencia de un tamaño óptimo del tick, sí que muestran algunas pistas sobre ciertas ventajas e inconvenientes que se derivan de la fijación de determinados tamaños.

Suggested Citation

  • David Abad & Mikel Tapia, 2003. "Impacto Sobre El Mercado Bursatil Español De Los Cambios En Las Variaciones Mínimas De Precios Tras La Introducción Del Euro," Working Papers. Serie EC 2003-17, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    • Handle: RePEc:ivi:wpasec:2003-17
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Microestructura; variación mínima; tick; restrictictividad del tick; Microstructure; Minimum price variation; tick; bidding tick;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage

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