Plumbing of Securities Markets: The Impact of Post-trade Fees on Trading and Welfare

• 成果类型: Article
• 署名作者: Degryse, Hans; Van Achter, Mark; Wuyts, Gunther
• 署名单位: KU Leuven; Centre for Economic Policy Research - UK
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2020.3880
• 发表日期: 2022
• 页码: 635-653
• 关键词: clearing and settlement; market design; financial market infrastructure; internalization; welfare

摘要

We analyze how market design choices about counterparty information and costs related to the plumbing (i.e., clearing, settlement, and custody) of securities markets affect market quality and welfare. Our model compares two post-trade fee structures for allocating these costs. One charges a uniform fee for all trades and the other, marginal cost-based structure a reduced fee for internalized trades (which, both traders being from the same broker, is less costly to process). Both market design and fee structure affect quote aggressiveness and trading volume and its composition. With marginal cost-based fees and counterparty information being available, traders decide which counterparties to target through quote aggressiveness, trading off execution probability against fee. A social planner can maximize welfare by requiring marginal cost-based fees and providing traders the choice to disclose counterparty information.