We use the 2016 U.S. SEC tick size pilot to examine the effects of an increase in the minimum price variation on limit order book liquidity in NASDAQ-listed stocks on the NASDAQ exchange. For treatment stocks with an average pre-pilot quoted spread less than $0.05, the tick size increase is...

Employing the SEC Tick Size Pilot Program that increases the minimum trading unit of a set of randomly selected small-capitalization stocks, we examine whether and how an exogenous change in stock liquidity affects corporate voluntary disclosure. Using difference-in-differences analyses with...

This paper studies a recent tick size reduction in the U.S. Treasury securities market and identifies its effects on the market's liquidity and price efficiency. Employing difference-indifference regressions, we find that the bid-ask spread narrows significantly after the change, even for large...

The U.S. equity markets recently increased the tick size from one to five cents for smaller capitalization stocks. We show that the larger tick size raised the cost for retail-sized liquidity demanding orders by almost fifty percent, and raised profits to liquidity providers by forty percent....

In this study, we examine the trading activity and volatility of stocks influenced by the US Securities and Exchange Commission's pilot program that increased tick sizes for various samples of stocks. The objective of the program is to examine possible improvements to the market quality of...

This paper examines whether larger tick sizes improve or hinder price efficiency using data from implementing and terminating the Tick Size Pilot Program (TSP). We show that the TSP led to increases in various liquidity measures, and its termination restored them to their pre-TSP levels. We also...

Using data from the 2016-2018 tick size pilot study, we examine the efficacy of using wider tick sizes to subsidize market-making in small capitalization stocks. We demonstrate that realized spreads decay quickly within the initial microseconds of a trade. The effect reduces the subsidy offered...

Existing literature documents a significant post-decimalization decline in inter-market quote competitiveness. We show that this result is due primarily to the decline in 100-share NBBO-matching quotes posted by NASDAQ. Particularly, after decimalization, such quotes decline by more than 90%. At...

We study the causal impacts of a tick size reduction policy in highly liquid stocks, exploiting a unique experiment in Borsa Istanbul leading to substantial exogenous variation in the tick size. Adapting a differences-in-differences strategy with a novel limit order and trade book data with...

This paper presents a model to analyze the consequences of competition in order-flow between a profit maximizing stock exchange and an alternative trading platform on the decisions concerning trading fees and listing requirements. Listing requirements, set by the exchange, provide public...