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

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dc.contributor.authorBerkman, H.
dc.contributor.authorBoyle, G.
dc.contributor.authorFrino, A.
dc.date.accessioned2011-10-26T20:30:09Z
dc.date.available2011-10-26T20:30:09Z
dc.date.issued2011en
dc.description.abstractMotivated 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.en
dc.identifier.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.en
dc.identifier.urihttp://hdl.handle.net/10092/5693
dc.language.isoen
dc.publisherUniversity of Canterbury. Department of Economics and Financeen
dc.rights.urihttps://hdl.handle.net/10092/17651en
dc.subjectmaker-taker feesen
dc.subjectliquidityen
dc.subjectbid-asken
dc.subjectdepthen
dc.subjectvolumeen
dc.subject.anzsrcFields of Research::38 - Economics::3801 - Applied economics::380107 - Financial economicsen
dc.subject.anzsrcField of Research::15 - Commerce, Management, Tourism and Services::1502 - Banking, Finance and Investmenten
dc.titleMaker-taker Exchange Fees and Market Liquidity: Evidence from a Natural Experimenten
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