Exchange market share, market makers, and murky behavior: The impact of no-fee trading on cryptocurrency market quality
利用币安交易所2022年7月取消做市商与吃单者交易费的自然实验，发现零费率虽增加交易意愿，但导致做市商扩大买卖价差、降低市场深度，反而损害流动性，并引发对价格公正性和投资者保护的担忧。
This study examines the impact of zero fees on market quality. This issue is examined using a natural experiment in Bitcoin provided by the Binance exchange, which eliminated maker–taker trading fees for market participants in July 2022. I find that although zero fees increase investors’ willingness to trade, thereby prima facie increasing liquidity, their elimination encourages market makers to widen the bid–ask spread and provide a shallower market depth, which in turn reduces liquidity. Liquidity providers realize gains at the expense of liquidity takers, suggesting the emergence of new potential forms of unethical financial market conduct. Notably, despite the removal of trading fees, total transaction costs increased for customers. These outcomes, coupled with the boost in exchange market share, raise concerns about price integrity and investors’ protection in the highly unregulated crypto environment, in turn implying that the elimination of maker–taker fees is harmful to the market.