The Impact of Minimum Trading Units on Stock Value and Price Volatility
研究特拉维夫证券交易所最小交易单位变化对股票交易活动、价格波动和价值的影响，发现投资者基础扩大和价格噪音降低会提升股票价值，且对最冷门股票影响可能为负。
We study how minimum trading unit changes on the Tel-Aviv Stock Exchange impact a stock's trading activity, price volatility, and value. The value effects are consistent with Merton's (1987) model, i.e., an increase in the investor base (trading volume) and a decrease in price noisiness affect stock value positively. Our results extend Amihud, Mendelson, and Uno's (1999) tests of Merton by demonstrating a clear relation between price noisiness changes and stock value changes, and by showing that the response to a minimum trading unit decrease becomes less favorable (and arguably even negative) in the thinnest trading stocks.