The Effect of Tick Size on Price Clustering and Trading Volume
研究当最小价格变动单位随价格水平变化时，其对价格聚类和交易量的影响。发现更小的交易单位会加剧价格聚类，且仅在交易活跃的股票中能增加交易量。
Proposals have been made for some stock exchanges to reduce the size of their trading tick in order to lower transactions costs and, as a result, attract more trading volume and firm listings. We investigate the impact of tick size on price clustering and trading volume when the minimum price change varies with price level. Controlling the firm specific variables, we find that a smaller trading tick tends to exacerbate price clustering. Furthermore, a reduction in tick size is more likely to increase trading volume if the shares are heavily traded. These results suggest that previous studies on other stock markets may have overstated the benefits of a smaller trading tick to traders.