2003年3月3日沪深证券交易所对封闭式交易基金的最小报价单位进行改革,由过去的“1分钱”改为“0.1分钱”,旨在改善“夹板套利”、“流动性差”等市场弊端.通过对比改制前后衡量证券市场质量的三个指标:买卖价差、市场深度和成交量总体所表现出的状况,验证了“分改厘”政策在某种程度上确实改进封闭式基金市场的交易状况和流动性.
From March 3rd 2003, a new tick size policy of closed-fund has been taken into effect at Shanghai and Shenzhen Stock Exchanges, which changed from "1 fen" to "0.1 fen". The new policy is aimed to improve the closed-fund market liquidity and "splint arbitrage mode". By comparing the difference of three market quality measurement indicators including bid-ask spread, depth and volume before and after the tick size changed, we found that to some extent the "0.1 fen" tick size improved the closed-fund market quality such as liquidity and trading activity.