DSpace
DSpace

UC Home > Library > UC Research Repository > College of Business and Law > Business and Law: Conference Contributions >

Please use this identifier to cite or link to this item: http://hdl.handle.net/10092/5693

Title: Maker-taker Exchange Fees and Market Liquidity: Evidence from a Natural Experiment
Authors: Berkman, H.
Boyle, G.
Frino, A.
Keywords: maker-taker fees
liquidity
bid-ask
depth
volume
Issue Date: 2011
Citation: Berkman, H., Boyle, G., Frino, A. (2011) Maker-taker Exchange Fees and Market Liquidity: Evidence from a Natural Experiment. Queenstown, New Zealand: 2011 Financial Management Association International (FMA) Asian conference, 6-8 Apr 2011.
Abstract: Motivated by a desire to enhance market liquidity, exchanges around the world have recently shown increasing interest in so-called `maker-taker' fee structures. However, little is currently known about the e ectiveness of such schemes. We therefore make use of a natural experiment to empir- ically assess the impact of maker-taker fees on liquidity. For three months during 2008, the New Zealand Stock Exchange applied maker-taker ex-change fees to Australian securities cross-listed on the New Zealand stock market, thereby allowing us to isolate the change in liquidity attributable to the introduction of maker-taker fees. We nd some evidence suggesting that market depth and trading volume rose in response to the change in fee structure, but bid-ask spreads remained essentially unchanged. We conclude that the impact of maker-taker fees on market liquidity remains an open question.
Publisher: University of Canterbury. Department of Economics and Finance
Research Fields: Field of Research::14 - Economics::1402 - Applied Economics::140207 - Financial Economics
Field of Research::15 - Commerce, Management, Tourism and Services::1502 - Banking, Finance and Investment
URI: http://hdl.handle.net/10092/5693
Rights URI: http://library.canterbury.ac.nz/ir/rights.shtml
Appears in Collections:Business and Law: Conference Contributions

Files in This Item:

File Description SizeFormat
12633224_Boyle.pdf121.86 kBAdobe PDFView/Open

 

Items in UC Research Repository are protected by copyright, with all rights reserved, unless otherwise indicated.

 

Valid XHTML 1.0! DSpace Software Copyright © 2002-2010  Duraspace - Feedback