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.

我们记录了 SEC 的 Tick Size 试点计划 (TSPP) 实施后美国市场相对价格发现的重大变化。控制 TSPP 之后的交易量迁移，我们发现市场信息份额的系统性变化取决于其费用结构。此外，这些变化会影响机构交易。基于跨市场扫描 (ISO) 和非扫描订单 (NISO) 的分析表明，使用 ISO 进行知情机构交易是这些变化发生的主要渠道。这些结果对于检查金融市场中的信息传播并包括 TSPP 样本期的所有研究都很重要。