Resolução ótima de preços na Bolsa de Valores de São Paulo

Abstract

Agents usually use a discrete set of prices to alleviate transaction costs for it reduces the bargaining time by reducing the amount of information that parties must exchange. On the other hand, if the discrete price set does not include an acceptable price for both parties, then some transactions may never occur. The optimal price resolution accounts for this tradeoff so as to minimize the transaction costs. This paper investigates the optimal price resolution of the São Paulo stock exchange (Bovespa). Our results are empirically relevant in that they suggest that a minimum price variation that depends on the share price could increase the market liquidity at Bovespa.