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Statistik › Globale Märkte und Börsen › MiFID II ticks

The MiFID II tick regime cut quoted spreads 27% and cut size at the touch by 57%

FTSE 100, tick decreased
-33.1%
FTSE 100, tick unchanged
-14.7%
FTSE 100, tick increased
12.0%
DAX 30, tick decreased
-28.7%
DAX 30, tick unchanged
0.3%
DAX 30, tick increased
35.6%
STOXX 50, tick decreased
-28.8%
STOXX 50, tick unchanged
-1.9%
STOXX 50, tick increased
29.5%

Change in average daily bid-ask spread, fourth quarter of 2017 against January 2018, by whether MiFID II raised, lowered or left each stock's minimum tick unchanged. The index-level averages are a weighted blend of three cohorts moving in opposite directions. The source reports no significance tests and its authors say it is too early for them.

Under the new tick regime, STOXX 600 spreads fell 27% and liquidity at the touch fell 57%. The averages hide the split: stocks whose tick decreased saw spreads fall about 29% while those whose tick rose saw them widen 30% to 36%.

-27%STOXX 600 quoted spread change after the new tick regime
-57%STOXX 600 liquidity at the touch over the same period
+35.6%DAX 30 spread change for stocks whose tick increased
-33.1%FTSE 100 spread change for stocks whose tick decreased

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