Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 3, 2017 erstellt
Beschreibung:
We show that queueing rationing under price controls drives high-frequency trading. A one-cent uniform tick size (minimal price variation) creates rents and generates queues for liquidity provision, particularly for securities with lower prices (larger relative tick sizes). Speed rations the rents to high-frequency traders (HFTs) through their time priority in the queue; non-HFTs demand liquidity despite increased liquidity provision revenue. Difference-in-differences tests using exchange-traded fund splits/reverse splits show that an increase in relative tick size increases the fraction of liquidity provided by HFTs but harms liquidity. These results challenge the proposal to increase the tick size to five cents