The Liquidity Impact of the Tick Size Reduction on the Underlying Stock Market: Evidence from the HO CHI MINH Stock Exchange

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Emerging Markets Review, 4(1) 1–24. Pruitt, S.W., Van Ness, B.F. and Van Ness, R.A. (2000). The Impact of the Reduction in Tick Increments in Major US Markets on Spreads, Depth, and Volatility, Review of Quantitative Finance and Accounting, 15(2), 153-167. Verousis, T., Perotti, P. & Sermpinis, G. (2018). One size fits all? High frequency trading, tick size changes and the implications for exchanges: market quality and market structure considerations. Review of Quantitative Finance and Accounting, 50(2), 353-392. APPENDICES Table 2: Liquidity impact on VN30-index stocks over the event window The research samples consist of 30 companies that are included in the VN30-index. This method employs 5 daily liquidity measures: Trading volume, Turnover volume, Turnover rate, Amihud Illiquidity and Martin Liquidity. The underlying implications and analytical expression for each liquidity measures are defined in the previous section. For each security, the time-weighted average of each liquidity measure is calculated for both the event-window period and the pre-period, [-152, -23]. The ratio of the average computed over the event-widow period divided by that computed over the pre-periods is calculated. Then, a one-sided t-test is used to test the null hypothesis that the mean of the ratios of 30 sample stocks is equal to one. Time interval Trading volume Turnover volume Turnover rate Amihud's Illiquidity Martin Liquidity Mean (Median) Proportio n with ratios > 1 Mean (Median) Proportio n with ratios > 1 Mean (Median) Proportio n with ratios > 1 Mean (Median) Proportio n with ratios < 1 Mean (Median) Proportio n with ratios < 1 [-22, 22] 1.1858* (1.0809) 0.5333 1.2174* (1.0314) 0.5333 1.1162 (0.98) 0.5 1.1084* (0.9236) 0.6667 1.2112* (0.953) 0.5333 [-12, 12] 1.2319* (1.0396) 0.5667 1.2721* (1.0078) 0.5333 1.1734 (0.9813) 0.4667 1.168 (0.8964) 0.5667 1.191 (0.9776) 0.5 [-7, 7] 1.1902 (1.1369) 0.5667 1.2137* (1.0236) 0.5 1.138 (1.018) 0.5 1.3559 (0.9827) 0.5333 1.3886* (0.9872) 0.5333 [-22, -8] 1.1367 (0.9179) 0.4 1.181 (0.9664) 0.4333 1.0625 (0.8931) 0.4 1.0629 (1.0431) 0.5 1.2812** (1.0762) 0.3667 [8, 22] 1.2305 (0.9981) 0.5 1.2576 (0.9473) 0.4333 1.1481 (0.9202) 0.4333 0.9062 (0.7542) 0.7 0.9639 (0.6584) 0.6667 *, **, *** and **** denote statistical significance at the 10%, 5%, 1% and 0.1% levels, respectively, using one-tailed t-test. Table 3: Liquidity impact on non-VN30-index stocks over the event window The research samples consist of 70 companies that are not included in the VN30-index. This method employs 5 daily liquidity measures: Trading volume, Turnover volume, Turnover rate, Amihud Illiquidity and Martin Liquidity. The underlying implications and analytical expression for each liquidity measures are defined in the previous section. For each security, the time-weighted average of each liquidity measure is calculated for both the event-window period and the pre-period, [-152, -23]. The ratio of the average computed over the event-widow period divided by that computed over the pre-periods is calculated. Then, a one-sided t-test is used to test the null hypothesis that the mean of the ratios of 30 sample stocks is equal to one. Time interval Trading volume Turnover volume Turnover rate Amihud's Illiquidity Martin Liquidity Mean (Median) Proportio n with ratios > 1 Mean (Median) Proportio n with ratios > 1 Mean (Median) Proportio n with ratios > 1 Mean (Median) Proportio n with ratios < 1 Mean (Median) Proportio n with ratios < 1 [-22, 22] 1.4161 (0.8968) 0.4143 1.406 (0.8724) 0.4571 1.3783 (0.8837) 0.3857 1.5643** (0.9615) 0.5286 1.4021** (0.8214) 0.5857 [-12, 12] 1.4419 (0.7811) 0.4 1.4429 (0.7454) 0.4 1.3901 (0.7574) 0.3571 1.5629** * (1.05) 0.4714 1.3957** (0.9141) 0.5286 [-7, 7] 1.7258 (0.7666) 0.3571 1.7196 (0.7115) 0.3857 1.6789 (0.734) 0.3571 1.7164** * (0.8588) 0.5286 1.4282* (0.8682) 0.5429 [-22, -8] 0.9869 (0.7822) 0.3714 0.9933 (0.8375) 0.3571 0.9381 (0.7717) 0.3286 1.229888 (0.9468) 0.5286 1.1445 (0.8554) 0.5857 [8, 22] 1.5183** (0.9585) 0.5 1.4879** (0.9048) 0.4429 1.5008* (0.8766) 0.4286 1.7521 (0.5949) 0.6429 1.6338 (0.5515) 0.7143 *, **, *** and **** denote statistical significance at the 10%, 5%, 1% and 0.1% levels, respectively, using one-tailed t-test. Table 4: Long term liquidity impact on VN30-index stocks The research samples consist of 30 companies that are included in the VN30-index. This method employs 5 daily liquidity measures: Trading volume, Turnover volume, Turnover rate, Amihud Illiquidity and Martin Liquidity. The underlying implications and analytical expression for each liquidity measures are defined in the previous section. For each security, the time-weighted average of each liquidity measure is calculated for both the post period and the pre-period, [-152, -23]. The ratio of the average computed over the event-widow period divided by that computed over the pre-periods is calculated. Then, a one-sided t-test is used to test the null hypothesis that the mean of the ratios of 30 sample stocks is equal to one. Time interval Trading volume Turnover volume Turnover rate Amihud's Illiquidity Martin Liquidity Mean (Median) Proportio n with ratios > 1 Mean (Median) Proportio n with ratios > 1 Mean (Median) Proportio n with ratios > 1 Mean (Median) Proportio n with