| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP8395 |
| DP8395 Trading Fees and Efficiency in Limit Order Markets | |
| Thierry Foucault; Jean-Edouard Colliard | |
| 发表日期 | 2011-05-19 |
| 出版年 | 2011 |
| 语种 | 英语 |
| 摘要 | We study competition between a dealer (OTC) market and a limit order market. In the limit order market, investors can choose to be "makers" (post limit orders) or "takers" (hit limit orders) whereas in the dealer market they must trade at dealers' quotes. Moreover, in the limit order market, investors pay a trading fee to the operator of this market ("the matchmaker"). We show that an increase in the matchmaker's trading fee can raise investors' ex-ante expected welfare. Actually, it induces makers to post more aggressive offers and thereby it raises the likelihood of a direct trade between investors. For this reason as well, a reduction in the matchmaker's trading fee can counter-intuitively raise the OTC market share. However, entry of a new matchmaker results in an improvement in investors' welfare, despite its negative effect on trading fees. The model has testable implications for the effects of a change in trading fees and their breakdown between makers and takers on various measures of market liquidity. |
| 主题 | Financial Economics ; Industrial Organization |
| 关键词 | Inter-market competition Limit order markets Liquidity Make/take fees Otc markets Trading fees |
| URL | https://cepr.org/publications/dp8395 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/537218 |
| 推荐引用方式 GB/T 7714 | Thierry Foucault,Jean-Edouard Colliard. DP8395 Trading Fees and Efficiency in Limit Order Markets. 2011. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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