The Impact of the Reduction in Tick Increments in Major U.S. Markets on Spreads, Depth, and Volatility

摘要: This study presents an analysis of the impact introduction quotes in sixteenths a dollar on AMEX, Nasdaq, and NYSE mid-1997 select market characteristics such as spreads, effective quoted depth, volume. The findings document reductions bid-ask spread, statistically significant increase number quotes. Interestingly, we find that liquidity, measured by total depth at bid ask, declines significantly AMEX NYSE, but increases Nasdaq. Trading volume remains unchanged for We also proportion even-increment is relevant factor affecting percentage spreads Nasdaq both before after only change quoting increments.