论文标题
MIFID II对股票价格形成的影响
Effects of MiFID II on stock price formation
论文作者
论文摘要
本文研究了MIFID II对欧洲股市的影响。我们研究了新的tick尺寸制度的影响，无论是在盘中还是在结束拍卖中。刻度大小的增加（减小）与盘中流动性的减少（增加）有关，但稳定的市场更稳定。在结束拍卖中，tick大小的增加对流动性有积极影响。此外，我们报告了tick大小和交易量之间的正相关关系，尤其是在结束拍卖中。最后，自MiFID II和关闭拍卖的价格形成以来，关闭拍卖量的大量增加了。
This paper examines effects of MiFID II on European stock markets. We study the effects of the new tick size regime, both intraday and in the closing auction. An increase (decrease) in tick size is associated with a decrease (increase) in intraday liquidity, but a more (less) stable market. In the closing auction an increase in tick size has a positive effect on liquidity. Moreover, we report a positive relationship between tick size and transacted volume, in particular in the closing auction. Finally, closing auction volumes increased heavily since MiFID II and price formation in closing auctions became more efficient.
