Trading Fees and Intermarket Competition

57 Pages Posted: 3 Feb 2017 Last revised: 29 Aug 2023

See all articles by Marios A. Panayides

Marios A. Panayides

University of Cyprus - Department of Accounting and Finance; University of Oklahoma

Barbara Rindi

Bocconi University, 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: August 25, 2023

Abstract

We study the 2013 changes in maker-taker pricing fees implemented by BATS on its two European venues, CXE and BXE. The CXE rebate reduction deteriorates market quality and market share, whereas the BXE rebate removal and take-fee reduction improve them. We derive a model of two competing limit order books, in which large (small) stocks are characterized by investors with higher (lower) propensity to supply liquidity and by greater (lower) trading activity. Consistent with our model, we show that traders in large stocks are more reactive to rebate reductions while traders in small stocks are more reactive to take-fee reductions.

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 Panayides, Marios A. and Rindi, Barbara and Werner, Ingrid M., Trading Fees and Intermarket Competition (August 25, 2023). 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 Oklahoma ( email )

Norman, OK 73019
United States

Barbara Rindi

Bocconi University, 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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