The lower the better? Revisiting minimum tick size

被引：0

作者：

Mestel, Roland ^{[1
,3
]}

Theissen, Erik ^{[1
,2
]}

Uhlenkamp, Corinna ^{[1
]}

机构：

[1] Karl Franzens Univ Graz, Inst Banking & Finance, Graz, Austria

[2] Univ Mannheim, Finance Area, Mannheim, Germany

[3] Karl Franzens Univ Graz, Inst Banking & Finance, Univ Str 15-F2, A-8010 Graz, Austria

来源：

APPLIED ECONOMICS LETTERS | 2024年

关键词：

Minimum tick size; liquidity; diff-in-diff analysis; ticks per spread;

D O I：

10.1080/13504851.2024.2333996

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We analyse the impact on liquidity of a reduction of the minimum tick size to sub-cent levels at the Vienna Stock Exchange. We find no effect, even after controlling for the extent to which stocks were constrained by the pre-change tick size. Our results imply that regulator-imposed lower bounds on the tick size are not necessarily harmful, and they fail to confirm the existence of a u-shaped relation between tick size and illiquidity as predicted by theoretical models.

引用

页数：6

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