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Contribution Details
Type | Bachelor's Thesis |
Scope | Discipline-based scholarship |
Title | The Impact of Changing Tick Size on Market Quality in Switzerland |
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Institution | University of Zurich |
Faculty | Faculty of Business, Economics and Informatics |
Date | 2020 |
Abstract Text | What happened with parameters like spreads, depths, volatility, and prices among Swiss share classes after the tick size change in early January 2018? Using a difference-indifference test (DiD), changes in these parameters are estimated, and there are some significant ones. The average bid-ask spread decreased by 52% or more, and turnover dropped by more than 31%, both after a tick size reduction. Volatility went up after the tick size has increased for some of the shares. These findings show that, according to other studies conducted in other markets, tick size changes do have an impact on market parameters, market participants, and hence, market quality. |
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