G2TT
来源类型Discussion paper
规范类型论文
来源IDDP8395
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
URLhttps://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.
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