Make and Take Fees in the U.S. Equity Market

54 Pages Posted: 20 Sep 2012 Last revised: 2 Apr 2015

Laura Cardella

Texas Tech University

Jia Hao

CUHK Business School, The Chinese University of Hong Kong; University of Michigan at Ann Arbor - Ross School of Business

Ivalina Kalcheva

University of California, Riverside

Date Written: April 1, 2015

Abstract

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

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

Laura Cardella

Texas Tech University ( email )

Lubbock, TX 79409
United States

Jia Hao

CUHK Business School, The Chinese University of Hong Kong ( email )

Shatin, N.T.
Hong Kong
852-3943-1914 (Phone)

HOME PAGE: http://www.bschool.cuhk.edu.hk/index.php/faculty-staff/show-alltest?pid=2&sid=1226:HAO-Jia

University of Michigan at Ann Arbor - Ross School of Business ( email )

701 Tappan Street
Ann Arbor, MI MI 48109
United States
734-647-1690 (Phone)

Ivalina Kalcheva (Contact Author)

University of California, Riverside ( email )

900 University Avenue
Riverside, CA 92521
United States

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