Cross-Sided Liquidity Externalities
研究了美国股票市场中流动性提供方（做市商）与需求方（交易者）之间的参与外部性，发现平均而言外部性为正，但在逆向选择严重时期为负，并通过交易所费率变化量化其经济影响。
We study the empirical relevance of the participation externality between liquidity suppliers (makers) and demanders (takers), i.e., whether liquidity demand attracts or reduces liquidity supply, and vice versa. We use exogenous shocks to exchange fees and technology as experiments to identify cross-sided complementarities between liquidity suppliers and demanders in the U.S. equity market. We find that the externality is large and positive, on average. However, the externality is negative in periods of high adverse selection. We quantify the economic significance of the externality by evaluating an exchange’s revenue after a fee change. The Internet appendix is available at https://doi.org/10.1287/mnsc.2016.2658 . This paper was accepted by Lauren Cohen, finance.