Lot Size Constraints and Market Quality: Evidence from the Borsa Italiana
研究了意大利证券交易所将最小交易单位降至一股后，市场流动性显著改善（相对价差平均下降10.2%），主要源于逆向选择减少，且信息效率未受明显影响，散户交易增加。
Trading venues often impose a minimum lot size (minimum trade unit [MTU]) to facilitate order execution. We document changes in market quality associated with the reduction of the MTU to one share on the Italian stock exchange, the Borsa Italiana. We observe a substantial improvement in liquidity, with an average decrease in the relative spread of 10.2%, and more significant improvements for those firms for which the MTU constraint was more binding. We also show that the improvement in liquidity is mainly driven by a reduction in adverse selection; that informational efficiency is not significantly affected; and there is an increase in retail trading. We interpret our findings in light of a model of asymmetric information in which the MTU affects traders’ choice of order size.