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