54 Pages Posted: 20 Sep 2012 Last revised: 2 Apr 2015
Date Written: 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.
Keywords: maker-taker, taker-maker, fees, rebates, access fees, liquidity rebates, spread, volume
JEL Classification: G1, G2
Suggested Citation: Suggested Citation
Cardella, Laura and Hao, Jia and Kalcheva, Ivalina, Make and Take Fees in the U.S. Equity Market (April 1, 2015). Available at SSRN: https://ssrn.com/abstract=2149302 or http://dx.doi.org/10.2139/ssrn.2149302