Make and Take Fees in the U.S. Equity Market
Texas Tech University
University of Michigan at Ann Arbor - Ross School of Business
University of California, Riverside (UCR) - Department of Finance and Management Science
April 1, 2015
We study the effect of liquidity-based trading fees charged by the U.S. stock exchanges, on market outcomes for the period 2008-2010. Our exchange-level analysis reveals that an exchange's trading volume is decreasing in its net fee, relative to the net fee of other exchanges. Further, an increase in the take fee decreases trading volume relatively more than an increase in the make fee. At the exchange level, these changes in trading volume are not accompanied by changes in quoted or net-of-fees spreads.
Number of Pages in PDF File: 54
Keywords: maker-taker, taker-maker, fees, rebates, access fees, liquidity rebates, spread, volume
JEL Classification: G1, G2
Date posted: September 20, 2012 ; Last revised: April 2, 2015
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