Tick size and price efficiency: Further evidence from the Tick Size Pilot Program
利用最小报价单位试点计划的实施与终止数据，研究发现较大最小报价单位降低了小盘股的价格效率，流动性改善和知情交易是主要影响渠道。
Abstract This paper examines whether larger tick sizes improve or hinder price efficiency for small‐capitalization stocks using data from implementing and terminating the Tick Size Pilot Program (TSPP). We show that the TSPP led to increases in various liquidity measures, and its termination restored them to their pre‐TSPP levels. We also find evidence that the TSPP led to trader migration from the pilot to control stocks. The TSPP implementation (termination) is associated with decreases (increases) in price efficiency, indicating that price efficiency decreases with tick sizes. Liquidity and informed trading are two channels through which the TSPP changes price efficiency.