Average quoted bid-ask spreads and share prices.

The Vietnamese government introduced a change in the minimum tick size for stock trading on 12 September 2016 to improve market quality and reduce trade execution costs. The intended effects of this policy have not been widely investigated in an emerging market such as Vietnam. We use data on trade and quote intraday of all stocks listed on the Ho Chi Minh Stock Exchange for the periods before and after the event, with a one-week break from 12/9/2016 to 18/9/2016, for the market to adapt to the new tick size policy. Findings from this paper confirm that the trading cost is reduced following the change to the smallest tick size. However, this is different for large trades executed at the stock price associated with a larger tick size. Furthermore, the findings are robust with a different sample period. These findings imply that introducing a change in tick size in Vietnam in 2016 is desirable for improving market quality. However, the differentiation of these changes in different ranges of stock prices is not necessarily effective for improving market quality and reducing trade execution costs.越南政府于2016年9月12日调整了股票交易的最小报价单位（tick size），旨在提升市场质量、降低交易执行成本。该政策的预期效果在越南这类新兴市场中尚未得到广泛研究。本文采用胡志明市证券交易所所有上市股票在政策实施前后的日内交易与报价数据，并设置2016年9月12日至9月18日共一周的适应期，以保障市场能够充分适配新的最小报价单位政策。研究结果证实，在调整为更小的最小报价单位后，整体交易成本有所降低。但针对以更大报价单位对应的股票价格成交的大额交易，情况则有所不同。此外，更换不同样本周期进行验证后，上述研究结论依然保持稳健。上述结果表明，2016年越南实施的最小报价单位调整政策，对于提升市场质量而言具备合理性。然而，针对不同股价区间实施差异化的报价单位调整，未必能有效提升市场质量并降低交易执行成本。