Abstract
We document significant changes in the relative price discovery of U.S. markets after the implementation of the SEC's Tick Size Pilot Program (TSPP). Controlling for the volume migration following the TSPP, we find systematic changes in the information share of markets, conditioned on their fee structure. Furthermore, these changes affect institutional trading. Analysis based on intermarket sweep (ISO) and non-sweep orders (NISOs) indicates that informed institutional trading using ISOs are the primary channel through which these changes transpire. These results are important for all studies that examine information propagation in financial markets and include the TSPP sample period.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
