Citation
E. Wang et al., Tick size and the compass rose: further insights, ECON LETT, 68(2), 2000, pp. 119-125
Citations number
2
Categorie Soggetti
Economics
Journal title
ECONOMICS LETTERS
ISSN journal
01651765
→ ACNP
Volume
68
Issue
2
Year of publication
2000
Pages
119 - 125
Database
ISI
SICI code
0165-1765(200008)68:2<119:TSATCR>2.0.ZU;2-8
Abstract
This paper investigates two differing perspectives on the compass rose - th
ose of Crack and Ledoit [1996, The Journal of Finance 51 (2), 751-762] and
Szpiro [1998, Journal of Banking and Finance 22, 1559-1569]. Neither perspe
ctive has explicitly considered the effect of time and we consider the impl
ications of this with illustrations using market micro data. (C) 2000 Elsev
ier Science S.A. All rights reserved. JEL classification: C12.