ティックサイズ変更時の状態変化

抄録

Stock exchanges are making many changes to become a more desirable market. One of these efforts is changing the tick size. This represents the unit of order price when an investor places an order. In this study, we estimated the change point for trading volume in the period before and after this change. As a result, it became clear that the change point exists before the actual tick size change date.