Payment for order flow

• 成果类型: Article
• 署名作者: Parlour, CA; Rajan, U
• 署名单位: Carnegie Mellon University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/S0304-405X(03)00071-0
• 发表日期: 2003
• 页码: 379-411
• 关键词: competition; Market orders; Limit orders

摘要

We develop a dynamic model of price competition in broker and dealer markets. With no payment for order flow, a zero-profit equilibrium exists. With payment for order flow, spreads widen to more than compensate for this payment; hence, there is no equilibrium in which market makers earn zero profits. While brokerage commissions for market orders can fall, the total transactions cost to submitting a market order remains positive. Consumer and social welfare are both lower in any equilibrium with payment for order flow; payment for order flow redistributes payoffs from traders who demand liquidity to those who supply it. (C) 2003 Elsevier Science B.V. All rights reserved.