Tick size, liquidity for small and large orders, and price informativeness: Evidence from the Tick Size Pilot Program

• 成果类型: Article
• 署名作者: Chung, Kee H.; Lee, Albert J.; Rosch, Dominik
• 署名单位: State University of New York (SUNY) System; University at Buffalo, SUNY; Sungkyunkwan University (SKKU)
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2019.11.004
• 发表日期: 2020
• 页码: 879-899
• 关键词: liquidity; TICK SIZE; Pilot program; Pricing efficiency; Liquidity spillover

摘要

Using limit order books across all US exchanges, we show that while liquidity for small orders (e.g., the quoted and effective spreads) decreases, liquidity for large orders (e.g., the cumulative depth and the price impact of multiple trades) improves after the implementation of the Tick Size Pilot Program. We find significant spillover effects on liquidity for small and large orders that extend beyond the top of the book. Finally, we show that the pilot program results in an improvement in pricing efficiency, an increase in trade size, and a decrease in the number of trades. (C) 2019 Elsevier B.V. All rights reserved.