Subsidizing Liquidity: The Impact of Make/Take Fees on Market Quality

• 成果类型: Article
• 署名作者: Malinova, Katya; Park, Andreas
• 署名单位: University of Toronto; Copenhagen Business School
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12230
• 发表日期: 2015
• 页码: 509-536
• 关键词: NASDAQ; dealer; COSTS

摘要

Facing increased competition over the last decade, many stock exchanges changed their trading fees to maker-taker pricing, an incentive scheme that rewards liquidity suppliers and charges liquidity demanders. Using a change in trading fees on the Toronto Stock Exchange, we study whether and why the breakdown of trading fees between liquidity demanders and suppliers matters. Posted quotes adjust after the change in fee composition, but the transaction costs for liquidity demanders remain unaffected once fees are taken into account. However, as posted bid-ask spreads decline, traders (particularly retail) use aggressive orders more frequently, and adverse selection costs decrease.