Cross-Sided Liquidity Externalities

• 成果类型: Article
• 署名作者: Tham, Wing Wah; Sojli, Elvira; Skjeltorp, Johannes A.
• 署名单位: University of New South Wales Sydney
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2016.2658
• 发表日期: 2018
• 页码: 2901-2929
• 关键词: liquidity cycle; liquidity externality; Two-sided markets; make/take fees

摘要

We study the empirical relevance of the participation externality between liquidity suppliers (makers) and demanders (takers), i.e., whether liquidity demand attracts or reduces liquidity supply, and vice versa. We use exogenous shocks to exchange fees and technology as experiments to identify cross-sided complementarities between liquidity suppliers and demanders in the U.S. equity market. We find that the externality is large and positive, on average. However, the externality is negative in periods of high adverse selection. We quantify the economic significance of the externality by evaluating an exchange's revenue after a fee change.