Identifying Cross-Sided Liquidity Externalities

Arbeitspapier

We study the relevance of the cross-sided externality between liquidity makers and takers from the two-sided market perspective. We use exogenous changes in the make/take fee structure, minimum tick-size and technological shocks for liquidity takers and makers, as experiments to identify cross-sided complementarities between liquidity makers and takers in the U.S. equity market. We find that the externality is on average positive, but it decreases with adverse selection. We quantify the economic significance of the externality by evaluating an exchange's revenue after a make/take fee change.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Tinbergen Institute Discussion Paper ; No. 13-154/IV/DSF63

Klassifikation und Themen

• Klassifikation: Wirtschaft ; General Financial Markets: General (includes Measurement and Data) ; Financial Institutions and Services: General ; Information and Market Efficiency; Event Studies; Insider Trading
• Thema: Liquidity cycle ; Liquidity externality ; Two-sided markets ; Make/take fees ; Marktliquidität ; Externer Effekt

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Skjeltorp, Johannes A. ; Sojli, Elvira ; Tham, Wing Wah
• Ereignis: Veröffentlichung
• (wer): Tinbergen Institute
• (wo): Amsterdam and Rotterdam
• (wann): 2013

Weitere Informationen

• Handle: http://hdl.handle.net/10419/87256
• Letzte Aktualisierung: 10.03.2025, 11:42 MEZ