What Influences 'Maker-Taker' Decisions in U.S. Equity Markets?

39 Pages Posted: 18 Sep 2017 Last revised: 21 Mar 2019

See all articles by Ryan Garvey

Ryan Garvey

Duquesne University

Tao Huang

Beijing Normal University-Hong Kong Baptist University United International College

Fei Wu

Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF)

Date Written: September 14, 2017

Abstract

We examine determinants of U.S. equity trader maker-taker decisions (e.g., execute a non-marketable limit order or marketable order). Those with a higher maker tendency are slower, larger-size traders who exhibit smaller price impact and concentrate their trading in fewer markets. When the bid-ask spread is narrower, depth is thinner, volume is lower, and volatility is higher, traders are more likely to take quotes. Trading costs differ between orders, and implicit and explicit costs are negatively (positively) related for maker (taker) executions. Overall, our findings indicate trader characteristics, market conditions, and trading cost dimensions influence order type decisions.

Keywords: Liquidity; Price impact; Order submission

JEL Classification: G19

Suggested Citation

Garvey, Ryan and Huang, Tao and Wu, Fei, What Influences 'Maker-Taker' Decisions in U.S. Equity Markets? (September 14, 2017). Available at SSRN: https://ssrn.com/abstract=3037319 or http://dx.doi.org/10.2139/ssrn.3037319

Ryan Garvey

Duquesne University ( email )

600 Forbes Avenue
Pittsburgh, PA 15282
United States

Tao Huang (Contact Author)

Beijing Normal University-Hong Kong Baptist University United International College ( email )

2000 Jintong Road
Zhuhai, Guangdong 519087
China

Fei Wu

Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF) ( email )

Shanghai Jiao Tong University
211 West Huaihai Road
Shanghai, 200030
China

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
73
Abstract Views
539
Rank
486,251
PlumX Metrics