Hau, Harald - C.E.P.R. Discussion Papers - 2002
Minimum price variation rules (tick size rules) in the French stock market prior to 1999 provide a natural experiment … minimal tick size for quotes increases from FF 0.1 to FF 1. This tick size increase generates a 20% higher median effective … spread and therefore artificially inflates transaction costs. Using the range of the quoted mid-price as a tick size robust …