The impact of tick size reduction on market quality － Evidence from the Taiwan Stock Exchange

[[abstract]]台灣證券交易所在2005年 3月 1日調降最小升降單位，本研究探討此市場制度改變後對市場品質的影響，結果顯示升降單位縮小後，買賣價差、市場深度及報酬波動性皆顯著降低，雖然升降單位縮小後，買賣價差及市場深度皆降低，但是流動性並未因而惡化，且買賣價差的縮小程度因成交量、市值、撮合次數及限制程度越大而減少越多，而市場深度方面，除各變數最低組外，其餘組皆發現升降單位縮小後，市場深度的縮小程度因成交量、市值、撮合次數及限制程度越大而減少越多。另外，升降單位縮小後，雖然資訊不對稱程度未有顯著差異，但是從變異比率及因偏離變異比率之交易成本，發現升降單位縮小，對市場效率仍有些許的助益。[[abstract]]Taiwan Stock Exchange reduced the tick size on 1 March, 2005. This paper discusses how will market quality change after reduce the tick size. It documents significantly decreasing in the spread, market depth, and return volatility although the market liquidity does not deteriorate from the decrease of spread and market depth. It also finds that higher volume, market value, match number and bounding brings more decreases of spread. And about the market depth, except the lowest group of the various variables, we discovered that the greater of the volume, market value, match number and bounding cause the greater decreases in the market depth in the other groups after the reduce of the tick size. Although the degree of information asymmetric didn’t change significantly after reduce tick size. But we can discovered reduce tick size is contributed to market efficiency from the execution cost of the variance-ratio and the staying from variance-ratio