Decimal Pricing and Information‐Based Trading: Tick Size and Informational Efficiency of Asset Price
分析最小报价单位（tick size）对信息交易的影响，发现十进制化后信息交易概率显著上升，且不能归因于股票特征变化，表明更小的报价单位促进了信息交易并提高了资产价格的信息效率。
Abstract: In this study we analyze the effect of tick size on information‐based trading. Although prior studies provide extensive evidence on the effect of tick size on market quality measures such as spreads, depths, and return volatility, there is little evidence as to the effect of tick size on the informational efficiency of asset price. Our results indicate that the probability of information‐based trading during the post‐decimal period is significantly greater than the corresponding figure during the pre‐decimal period. We also show that the increase in information‐based trading after decimalization cannot be attributed to concurrent changes in stock attributes. We interpret our findings as evidence that the smaller tick size under penny pricing encourages information‐based trading and thereby raises the informational efficiency of asset price.