Refusing the best price?

• 成果类型: Article
• 署名作者: Li, Sida; Ye, Mao; Zheng, Miles
• 署名单位: Brandeis University; Cornell University; National Bureau of Economic Research; University of Illinois System; University of Illinois Urbana-Champaign
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2022.11.004
• 发表日期: 2023
• 页码: 317-337
• 关键词: Regulation NMS; Order types; Routing; Make; take fees; High -frequency trading

摘要

The Regulation National Market System (Reg NMS) links fragmented stock exchanges by routing orders to the National Best Bid and Offer (NBBO). As the NBBO ignores exchange fees, 62% of routings lead to worse net prices. An increase in fee differences increases the market share captured by orders that refuse Reg NMS routings, particularly for stocks whose fees account for a large portion of transaction costs. Heterogeneous opportunity costs rationalize routing choices: non-routable orders entail lower non-execution costs than routable orders. Our results indicate that fees and clientele segmentation drive the proliferation of order types in the Reg NMS era. (c) 2022 Elsevier B.V. All rights reserved.