Motivated by a desire to enhance market liquidity, exchanges around the
world have recently shown increasing interest in so-called `maker-taker'
fee structures. However, little is currently known about the e
ectiveness of such schemes. We therefore make use of a natural
experiment to empirically assess the impact of maker-taker fees on liquidity. For three
months during 2008, the New Zealand Stock Exchange applied maker-taker
ex-change fees to Australian securities cross-listed on the New Zealand
stock market, thereby allowing us to isolate the change in liquidity
attributable
to the introduction of maker-taker fees. We nd some evidence suggesting
that market depth and trading volume rose in response to the change in
fee structure, but bid-ask spreads remained essentially unchanged. We
conclude that the impact of maker-taker fees on market liquidity remains
an open question.
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maker-taker fees
liquidity
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Economics
Applied Economics
Financial Economics
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