  This paper examines effects of MiFID II on European stock markets. We study
the effects of the new tick size regime, both intraday and in the closing
auction. An increase (decrease) in tick size is associated with a decrease
(increase) in intraday liquidity, but a more (less) stable market. In the
closing auction an increase in tick size has a positive effect on liquidity.
Moreover, we report a positive relationship between tick size and transacted
volume, in particular in the closing auction. Finally, closing auction volumes
increased heavily since MiFID II and price formation in closing auctions became
more efficient.
