交易量份额和市场质量：零佣金前和零佣金后

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE

Journal of Empirical Finance Pub Date : 2024-11-01 DOI:10.1016/j.jempfin.2024.101564

Pankaj K. Jain , Suchismita Mishra , Shawn M. O'Donoghue , Le Zhao

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引用次数: 0

摘要

在主要经纪商采用零佣金后，他们越来越多地将订单转给批发市场做市商，以便在损失佣金的情况下可能获得订单流付款。零佣金经纪人和收取佣金经纪人持有的散户投资者资产分别增加 7%和减少 9%。散户投资者赚取的每股价格提升较少，提交的订单较多，订单规模较小。由于散户限价越来越多地发布在买卖价差内，有效价差下降。日内波动性增加，价格影响下降，因为订单变得更加不知情，而实际价差保持不变。

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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Trading volume shares and market quality: Pre- and post- zero commissions

After the adoption of zero-commissions by major brokers, they increasingly route orders to wholesale market makers to possibly earn payment for order flow given the loss of commissions. Retail investors assets held by zero-commission and commission-charging brokers increase 7 % and decrease 9 %, respectively. Retail investors earn less price improvement per share and submit more orders and smaller orders. Effective spreads decline because retail limit prices are increasingly posted within the bid-ask spread. Intraday volatility increases and price impact falls, as orders become more uninformed, while realized spreads remain unchanged.

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来源期刊

Journal of Empirical Finance Multiple-

CiteScore

3.40

自引率

3.80%

发文量

期刊介绍： The Journal of Empirical Finance is a financial economics journal whose aim is to publish high quality articles in empirical finance. Empirical finance is interpreted broadly to include any type of empirical work in financial economics, financial econometrics, and also theoretical work with clear empirical implications, even when there is no empirical analysis. The Journal welcomes articles in all fields of finance, such as asset pricing, corporate finance, financial econometrics, banking, international finance, microstructure, behavioural finance, etc. The Editorial Team is willing to take risks on innovative research, controversial papers, and unusual approaches. We are also particularly interested in work produced by young scholars. The composition of the editorial board reflects such goals.