Trading Fees and Intermarket Competition
Autor: | Marios A. Panayides, Barbara Rindi, Ingrid M. Werner |
---|---|
Rok vydání: | 2017 |
Předmět: |
Finance
History Polymers and Plastics business.industry ComputingMilieux_PERSONALCOMPUTING Monetary economics Industrial and Manufacturing Engineering Market liquidity Competition (economics) ComputingMilieux_MANAGEMENTOFCOMPUTINGANDINFORMATIONSYSTEMS Order (exchange) Market quality Order book ComputingMilieux_COMPUTERSANDSOCIETY Business Business and International Management Market share Capitalization |
Zdroj: | SSRN Electronic Journal. |
ISSN: | 1556-5068 |
DOI: | 10.2139/ssrn.2910438 |
Popis: | We model an order book with liquidity rebates (make fees) and trading fees (take fees) that faces intermarket competition, and use the model's insights to explain changes in market quality and market shares following changes in make-take fees. As predicted by our model, we document that fee changes by one venue affect market quality and market shares for all venues that compete for order flow. Furthermore, we document cross-sectional differences in changes in market quality and market shares following a simultaneous decrease in both make and take fees consistent with traders in large (small) capitalization stocks being more sensitive to the change in make (take) fees. |
Databáze: | OpenAIRE |
Externí odkaz: |
Pro tento záznam nejsou dostupné žádné jednotky.