When is the order-to-trade ratio fee effective?

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE

Journal of Financial Markets Pub Date : 2023-01-01 DOI:10.1016/j.finmar.2022.100762

Nidhi Aggarwal , Venkatesh Panchapagesan , Susan Thomas

引用次数: 1

Abstract

Regulators use measures such as a fee on high order-to-trade ratio (OTR) to slow down high-frequency trading. Their impact on market quality is, however, mixed. We study a natural experiment in the Indian stock market where such a fee was introduced twice, with differences in motivation and implementation. Using a difference-in-difference approach, we find that the fee decreased OTR and improved market quality when it was imposed on all orders, while it had little effect when it was imposed selectively on some orders. Improvement in liquidity was driven by a reduction in adverse selection costs following lower OTR.

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订单与交易比率费用何时生效？

监管机构使用对高订单交易比率(OTR)收取费用等措施来减缓高频交易。然而，它们对市场质量的影响好坏参半。我们研究了印度股票市场的一个自然实验，在这个实验中，这种费用被引入了两次，在动机和实施上都有所不同。利用差中差方法，我们发现当对所有订单征收时，费用降低了OTR并改善了市场质量，而当对某些订单有选择地征收时，费用几乎没有影响。流动性的改善是由于OTR降低后逆向选择成本的降低。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Financial Markets BUSINESS, FINANCE-

CiteScore

3.40

自引率

3.60%

发文量

期刊介绍： The Journal of Financial Markets publishes high quality original research on applied and theoretical issues related to securities trading and pricing. Area of coverage includes the analysis and design of trading mechanisms, optimal order placement strategies, the role of information in securities markets, financial intermediation as it relates to securities investments - for example, the structure of brokerage and mutual fund industries, and analyses of short and long run horizon price behaviour. The journal strives to maintain a balance between theoretical and empirical work, and aims to provide prompt and constructive reviews to paper submitters.