Abstract
This paper provides a unique opportunity to investigate the impact reduction in tick size towards Malaysian’s stock market liquidity by utilising spread and trading volume as proxies to market liquidity. The main function of tick size it is a tool to improvise the market liquidity, it is a tool to beautify the market liquidity. Using the components of FTSE-BMKLCI and closing daily data compiled starting from the implementation new tick size regime, from 3 August 2009 until the end of trading day 31 December 2014, this study found that, with the reduction in tick size, it reduces the spread significantly and there is a significant impact on trading volume.
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