最小价格变动单位的减小对买卖价差日内周期性的影响——来自香港的证据

The Effects of Decreased Minimum Price Variation on the Intraday Pattern of Bid and Ask Spread:Evidence from Hong Kong

本文实证分析了香港联交所2006年降低最小价格变动单位(MPV)对股票日内买卖价差的影响。首次检验并拒绝了Foucault等(2005)提出的"收盘买卖价差假说"——他们预测在MPV降低后,收盘时买卖价差相对之前同时段会增大。本文根据检验结果给出了若干解释。进一步的回归分析发现,MPV减少后,标准化买卖价差在开盘时变大,在收盘时则变小。这说明在降低MPV的情况下,限价指令交易者调整了他们的日内交易策略。

This paper examines the effects of decreased Minimum Price Variation （ hereafter, MPV）, which is conducted by Hong Kong Exchanges and Clearing Limited in 2006, on intraday patterns of the Bid and Ask Spread. We first test Foucault et al. （2005） ＇s prediction that closing spreads may increase after MPV decreased because of impaired market resiliency, which isn＇t tested before. However, we find evidence against their prediction, and give some explanations. Further, the MPV reduction has greater effects on liquidity providers during the last period of the day than on the beginning of the day, which leads to a wider open standardized spread, and a tighter close standardized spread. These findings suggest that limit order traders may adjust their intraday trading strategies after the MPV reduction.