Assessing MiFID II Regulation on Tick Sizes: A Transaction Costs Analysis Viewpoint

The new MiFID II regulation put in place in January 2018 has deeply modified the microstructure of European financial markets. In particular, new tick size tables have been created, leading to tick size modifications for hundreds of assets. In this work, we investigate the relevance of this new tick...

Full description

Saved in:
Bibliographic Details
Published in:Market microstructure and liquidity 2019-12, Vol.5 (1n04)
Main Authors: Laruelle, Sophie, Rosenbaum, Mathieu, Savku, Emel
Format: Article
Language:English
Citations: Items that this one cites
Items that cite this one
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
Description
Summary:The new MiFID II regulation put in place in January 2018 has deeply modified the microstructure of European financial markets. In particular, new tick size tables have been created, leading to tick size modifications for hundreds of assets. In this work, we investigate the relevance of this new tick size regime for the assets traded on Euronext. To do so, we analyze the changes of transaction costs paid by investors under this new regulation. We find that from this viewpoint, MiFID II clearly induced an improvement of market quality.
ISSN:2382-6266
2424-8037
DOI:10.1142/S2382626620500033