Maker-taker Exchange Fees and Market Liquidity: Evidence from a Natural Experiment (2011)
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.
CitationBerkman, 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.
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Keywordsmaker-taker fees; liquidity; bid-ask; depth; volume
ANZSRC Fields of Research38 - Economics::3801 - Applied economics::380107 - Financial economics
15 - Commerce, Management, Tourism and Services::1502 - Banking, Finance and Investment
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