Tick Size, Order Handling Rules, and Trading Costs
发现最小报价单位降低对纳斯达克价差的影响取决于订单处理规则：仅当做市商与公众交易者进行价格竞争时，缩小报价单位才能有效降低市场摩擦。
We show that the effect of the tick-size change on NASDAQ spreads depends critically on the Order Handling Rules (OHR). Our empirical results show that the tick-size reduction has no impact on the spread of NASDAQ issues that were not subject to the new OHR, but has a significant effect on the spread of NASDAQ issues that were subject to the OHR. These results indicate that smaller tick sizes are valuable in reducing market friction only if market makers compete on price with public traders. Our results are in line with the finding of prior studies that execution costs are lower in auction markets than in pure dealer markets.