University of Canterbury Home
    • Admin
    UC Research Repository
    UC Library
    JavaScript is disabled for your browser. Some features of this site may not work without it.
    View Item 
    1. UC Home
    2. Library
    3. UC Research Repository
    4. UC Business School | Te Kura Umanga
    5. Business: Conference Contributions
    6. View Item
    1. UC Home
    2.  > 
    3. Library
    4.  > 
    5. UC Research Repository
    6.  > 
    7. UC Business School | Te Kura Umanga
    8.  > 
    9. Business: Conference Contributions
    10.  > 
    11. View Item

    Maker-taker Exchange Fees and Market Liquidity: Evidence from a Natural Experiment (2011)

    Thumbnail
    View/Open
    12633224_Boyle.pdf (121.8Kb)
    UC Permalink
    http://hdl.handle.net/10092/5693
    
    Publisher
    University of Canterbury. Department of Economics and Finance
    Collections
    • Business: Conference Contributions [239]
    Authors
    Berkman, H.
    Boyle, G.
    Frino, A.
    show all
    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.

    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.
    This citation is automatically generated and may be unreliable. Use as a guide only.
    Keywords
    maker-taker fees; liquidity; bid-ask; depth; volume
    ANZSRC Fields of Research
    38 - Economics::3801 - Applied economics::380107 - Financial economics
    15 - Commerce, Management, Tourism and Services::1502 - Banking, Finance and Investment
    Rights
    https://hdl.handle.net/10092/17651

    Related items

    Showing items related by title, author, creator and subject.

    • Determinants of Trading Activity on Single Stock Futures Market-Evidences from Eurex Exchange 

      Bialkowski, J.; Jakubowski, J. (Social Science Research NetworkUniversity of Canterbury. Department of Economics and Finance, 2010)
      This paper investigates to what extent underlying specific properties together with contract design determine level of trading activity on the Eurex derivative exchange. The study looks beyond systematic reasons extensively ...
    • High policy uncertainty and low implied market volatility – an academic puzzle? 

      Wei X; Bialkowski, Jedrzej; Dang, Huong Dieu (2022)
      Motivated by the extremely low level of the CBOE VIX accompanied by the high level of US economic policy uncertainty in the period of late 2016 to the end of 2017, we examine the factors affecting the relationship ...
    • Emerging Market Mutual Fund Performance: Evidence for Poland 

      Bialkowski, J.; Otten, R. (University of Canterbury. Department of Economics and Finance, 2010)
      This paper provides evidence on the performance of mutual funds in a prominent emerging market; Poland. Studying an emerging market provides an excellent opportunity to test whether the consensus on the inability of mutual ...
    Advanced Search

    Browse

    All of the RepositoryCommunities & CollectionsBy Issue DateAuthorsTitlesSubjectsThesis DisciplineThis CollectionBy Issue DateAuthorsTitlesSubjectsThesis Discipline

    Statistics

    View Usage Statistics
    • SUBMISSIONS
    • Research Outputs
    • UC Theses
    • CONTACTS
    • Send Feedback
    • +64 3 369 3853
    • ucresearchrepository@canterbury.ac.nz
    • ABOUT
    • UC Research Repository Guide
    • Copyright and Disclaimer
    • SUBMISSIONS
    • Research Outputs
    • UC Theses
    • CONTACTS
    • Send Feedback
    • +64 3 369 3853
    • ucresearchrepository@canterbury.ac.nz
    • ABOUT
    • UC Research Repository Guide
    • Copyright and Disclaimer