Trading Fees and Intermarket Competition

73 Pages Posted: 3 Feb 2017 Last revised: 30 Jul 2018

See all articles by Marios A. Panayides

Marios A. Panayides

University of Cyprus - Department of Accounting and Finance; University of Pittsburgh - Katz Graduate School of Business

Barbara Rindi

Bocconi University and IGIER and Baffi Carefin

Ingrid M. Werner

The Ohio State University - Fisher College of Business

Multiple version iconThere are 2 versions of this paper

Date Written: July 27, 2018

Abstract

Regulators, exchanges, and politicians are considering reining in maker-taker pricing, which is used as a competitive tool by trading venues to acquire order flow. Examining the 2013 reduction in trading fees operated by BATS on its European venues, we document significant effects on market quality and market share both on BATS and in competing venues. Interestingly, we identify cross sectional differences which suggest that traders in large (small) capitalization stocks are more sensitive to changes in make (take) fees. Our results are consistent with the predictions derived from a model of two competing order books that employ trading fees.

Keywords: Trading Fees, Access Fees, Maker-Taker Pricing, Intermarket Competition, Limit Order Book

JEL Classification: G10, G12, G14, G18, G20, D40, D47

Suggested Citation

Panayides, Marios A. and Rindi, Barbara and Werner, Ingrid M., Trading Fees and Intermarket Competition (July 27, 2018). Charles A. Dice Center 2017-03; Fisher College of Business Working Paper No. 2017-03-003. Available at SSRN: https://ssrn.com/abstract=2910438 or http://dx.doi.org/10.2139/ssrn.2910438

Marios A. Panayides

University of Cyprus - Department of Accounting and Finance ( email )

University of Cyprus
P.O. Box 20537
Nicosia, CY-1678
Cyprus

University of Pittsburgh - Katz Graduate School of Business ( email )

372 Mervis Hall
Pittsburgh, PA 15260
United States

Barbara Rindi

Bocconi University and IGIER and Baffi Carefin ( email )

Via Roentgen 1
Milan, 20136
Italy
+39 58365328 (Phone)

HOME PAGE: http://faculty.unibocconi.eu/barbararindi

Ingrid M. Werner (Contact Author)

The Ohio State University - Fisher College of Business ( email )

2100 Neil Avenue
Columbus, OH 43210-1144
United States
614-292-6460 (Phone)
614-292-2418 (Fax)

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