最小报价单位对我国股票市场流动性影响--基于高频数据的实证研究

最小报价单位是影响证券市场流动性的重要因素之一。利用上海证券交易所分笔交易数据，从价差、深度以及交易金额三个方面考察了最小报价单位对股票市场流动性的影响。实证结果表明，从总体上看．最小报价单位的变化将导致股票市场平均价差、深度和交易金额同向变化。按照股价大小将股票分组后发现：最小报价单位增加将导致低价股的价差和深度变大，交易金额减少；最小报价单位增大对高价股的价差没有显著影响，但会增大深度和交易金额，从而改善高价股的流动性。最后刺用“分改厘”后基金流动性的变化验证所得结论。

The Effects of Tick Size on the Liquidity of Chinese Stock Market: An Empirical Research on the Basis of High Frequency Data

Tick size is the one of the most important factors influencing the liquidity of security market. In this paper, the effect of tick size on the liquidity in Chinese stock market is estimated from three aspects, namely, the price variation, the depth and trade volume. Based on the high frequency data, it can be concluded that the change of tick size will contribute to the change of the price variation, the depth and trade volume in the same direction. Grouped by the prices level of stocks, the increase of tick size will lead to the increase of the spread, and depth, and decrease trade volume in the high-price group; the increase of tick size will improve the depth and enhance trade volume in the low-price group, without influencing the spread. Consequently, the liquidity of high price stocks will be improved. Finally, the conclusion of this article is proved by the change of the liquidity of cloud-end funds resulting from the decrease of tick size.