Maker-Taker Pricing Effects on Market Quotations
نویسنده
چکیده
The exchange maker-taker pricing scheme affects incentives to take or make markets resulting in narrower bid-ask spreads. This study traces the effect of maker-taker pricing on stock quotations. The analyses consider distributions of quotation sizes, values implied from these sizes, and changes in these sizes and values. The results help inform the current debate on whether tick sizes should be made smaller for actively traded low price stocks. They also shed light on various problems associated with maker-taker pricing and its cousin taker-maker pricing, which allows traders to engage in sub-penny quotation behavior that legally violates the spirit of Regulation NMS.
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