Price clustering and the informational efficiency of stock prices
研究了股票价格在整数价位上的聚类是否导致价格信息效率降低，利用美国证监会的Tick Size试点项目进行因果推断，发现价格聚类确实降低了市场效率。
Abstract We examine whether stock price clustering on round pricing increments leads to less efficient stock prices. In panel data tests, we find a positive association between price clustering and market inefficiency. To draw stronger causal inferences, we use the 2016 US Securities and Exchange Tick Size Pilot Program, which exogenously imposed price clustering on a group of treatment stocks. A difference‐in‐differences analysis shows that relative to control stocks, treatment stocks became less efficient during the Pilot period. We also find a reversal effect upon the conclusion of the Pilot. These results suggest that causality flows from price clustering to market inefficiency.