• The Korean Journal of Financial Management
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• v.26 no.4
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• pp.141-163
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• 2009

Using the extensive datasets, I analyze the effect of tick size changes on the intraday patterns of spread and depth. I show that intraday variations in spread (depth) are greater (smaller) with smaller tick size during the early hour of trading and become smaller (larger) during the last hour of trading. And the standardized spreads (depths) are quoted at the lower (higher) levels as the tick size becomes smaller. I also find that U-shaped intraday spread pattern changes to the reverse flat S-shape while inverted U-shaped depth pattern does to the flat S-shape.