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

Sophie Laruelle et al.

Market Microstructure and Liquidity2019https://doi.org/10.1142/s2382626620500033article
ABDC B
Weight
0.41

What the paper says

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.

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https://doi.org/https://doi.org/10.1142/s2382626620500033

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@article{sophie2019,
  title        = {{Assessing MiFID II Regulation on Tick Sizes: A Transaction Costs Analysis Viewpoint}},
  author       = {Sophie Laruelle et al.},
  journal      = {Market Microstructure and Liquidity},
  year         = {2019},
  doi          = {https://doi.org/https://doi.org/10.1142/s2382626620500033},
}

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

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Evidence weight

0.41

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.18 × 0.4 = 0.07
M · momentum0.77 × 0.15 = 0.12
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.