做市商限价订单补贴能否改善市场结果？准自然实验证据

IF 3.6 2区经济学 Q1 BUSINESS, FINANCE Journal of Banking & Finance Pub Date : 2024-10-28 DOI:10.1016/j.jbankfin.2024.107330

Yiping Lin , Peter L. Swan , Frederick H.de B. Harris

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引用次数: 0

摘要

我们提供了一个关于交易所准入费的新理论，解释了为什么在 "做市商 "平台上，准入费会相对降低执行概率并增加限价订单排队长度。然而，限价订单补贴大大提高了市场深度，同时也提高了市场效率和交易量。此外，无论最低交易价是多少，收费结构都不会 "洗掉"。监管机构要求交易和订单流量仅取决于原始（名义）价差和价格，这是对限价订单提供数十亿美元补贴的基础。只要平台仍有竞争力，取消费用结构不会改变原始价差，但会降低累计费用价差。我们利用纳斯达克 1.9 万亿美元的 "准自然 "实验，通过单边降低做市商费用/回扣来测试这些影响，从而为我们的理论提供支持。

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Does maker-taker limit order subsidy improve market outcomes? Quasi-natural experimental evidence

We provide a new theory of exchange access fees that explains why fees relatively reduce the probability of execution and increase the limit order queue length on “maker-taker” platforms. Nonetheless, the limit order subsidy greatly improves market depth, together with market efficiency and trading volume. Moreover, fee structures never “wash out” regardless of the minimum tick. The regulatory requirement that trading and order flow depend only on raw (nominal) spreads and prices underpins the multi-billion-dollar subsidy to limit orders. So long as a platform remains competitive, elimination of the fee structure does not alter the raw spread, but it does lower the cum fee spread. We test these implications with a unilateral maker-taker fee/rebate reduction using NASDAQ's “quasi-natural” $1.9 trillion experiment to find support for our theory.

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来源期刊

Journal of Banking & Finance Multiple-

CiteScore

6.40

自引率

5.40%

发文量

262

期刊介绍： The Journal of Banking and Finance (JBF) publishes theoretical and empirical research papers spanning all the major research fields in finance and banking. The aim of the Journal of Banking and Finance is to provide an outlet for the increasing flow of scholarly research concerning financial institutions and the money and capital markets within which they function. The Journal''s emphasis is on theoretical developments and their implementation, empirical, applied, and policy-oriented research in banking and other domestic and international financial institutions and markets. The Journal''s purpose is to improve communications between, and within, the academic and other research communities and policymakers and operational decision makers at financial institutions - private and public, national and international, and their regulators. The Journal is one of the largest Finance journals, with approximately 1500 new submissions per year, mainly in the following areas: Asset Management; Asset Pricing; Banking (Efficiency, Regulation, Risk Management, Solvency); Behavioural Finance; Capital Structure; Corporate Finance; Corporate Governance; Derivative Pricing and Hedging; Distribution Forecasting with Financial Applications; Entrepreneurial Finance; Empirical Finance; Financial Economics; Financial Markets (Alternative, Bonds, Currency, Commodity, Derivatives, Equity, Energy, Real Estate); FinTech; Fund Management; General Equilibrium Models; High-Frequency Trading; Intermediation; International Finance; Hedge Funds; Investments; Liquidity; Market Efficiency; Market Microstructure; Mergers and Acquisitions; Networks; Performance Analysis; Political Risk; Portfolio Optimization; Regulation of Financial Markets and Institutions; Risk Management and Analysis; Systemic Risk; Term Structure Models; Venture Capital.

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