Subsidizing Liquidity: The Impact of Make/Take Fees on Market Quality
研究多伦多证券交易所交易费用改为做市-吃单定价后，费用构成变化如何影响报价、交易成本及投资者行为，发现报价价差缩小但实际交易成本不变，零售投资者更积极使用激进订单。
ABSTRACT Facing increased competition over the last decade, many stock exchanges changed their trading fees to maker‐taker pricing, an incentive scheme that rewards liquidity suppliers and charges liquidity demanders. Using a change in trading fees on the Toronto Stock Exchange, we study whether and why the breakdown of trading fees between liquidity demanders and suppliers matters. Posted quotes adjust after the change in fee composition, but the transaction costs for liquidity demanders remain unaffected once fees are taken into account. However, as posted bid‐ask spreads decline, traders (particularly retail) use aggressive orders more frequently, and adverse selection costs decrease.