Make-Take Structure and Market Quality: Evidence from the U.S. Options Markets

References

• Angel J, Harris L, Spatt C (2011) Equity trading in the 21st century. Quart. J. Finance 1:1–53.Crossref, Google Scholar
• Angel J, Harris L, Spatt C (2015) Equity trading in the 21st century: An update. Quart. J. Finance 5:Article 1550002.Crossref, Google Scholar
• Bacidore J, Sofianos G (2002) Liquidity provision and specialist trading in NYSE-listed non-U.S. stocks. J. Financial Econom. 63:133–158.Crossref, Google Scholar
• Barclay M (1997) Bid-ask spreads and the avoidance of odd-eighth quotes on NASDAQ: An examination of exchange listings. J. Financial Econom. 45:35–60.Crossref, Google Scholar
• Barclay M, Hendershott T, McCormick T (2003) Competition among trading venues: Information and trading on electronic communications networks. J. Finance 59:933–962.Google Scholar
• Battalio R, Greene J, Jennings R (1997) How do competing specialists and preferencing dealers affect market quality? Rev. Financial Stud. 10:969–993.Crossref, Google Scholar
• Battalio R, Hatch B, Jennings R (2004) Toward a national market system for U.S. exchange listed equity options. J. Finance 58:2637–2665.Google Scholar
• Battalio R, Shkilko A, Van Ness R (2011) To pay or be paid? The impact of taker fees and order flow inducements on trading costs in U.S. options markets. Working paper, University of Notre Dame, Notre Dame, IN.Crossref, Google Scholar
• Bessembinder H (1999) Trade execution costs on NASDAQ and the NYSE: A post-reform comparison. J. Financial Quant. Anal. 34:387–407.Crossref, Google Scholar
• Bessembinder H (2003a) Quote-based competition and trade execution costs in NYSE-listed stocks. J. Financial Econom. 70:385–422.Crossref, Google Scholar
• Bessembinder H (2003b) Trade execution costs and market quality after decimalization. J. Financial Quant. Anal. 38:747–777.Crossref, Google Scholar
• Bessembinder H, Kaufman HM (1997a) A comparison of trade execution costs for NYSE and NASDAQ-listed stocks. J. Financial Quant. Anal. 32:287–310.Crossref, Google Scholar
• Bessembinder H, Kaufman HM (1997b) A cross-exchange comparison of execution costs and information flow for NYSE-listed stocks. J. Financial Econom. 46:293–319.Crossref, Google Scholar
• Bloomfield R, O’Hara M (1998) Does order preferencing matter? J. Financial Econom. 50:30–37.Crossref, Google Scholar
• Blume M, Goldstein M (1997) Quotes, order flow and price discovery. J. Finance 52:221–244.Crossref, Google Scholar
• Brodsky WJ (2010) Re: Supplemental CBOE comments on file no. S7-21-09; release no. 34-62445. Memo to Elizabeth M. Murphy, Chicago Board Options Exchange, Chicago.Google Scholar
• Brooks A (2014) High frequency trading’s impact on the economy: Hearing before the Subcommittee on Securities, Insurance, and Investment. 113th Cong., 2nd sess., June 18, 2014.Google Scholar
• Cao C, Choe H, Hatheway F (1997) Does the specialist matter? Differential execution costs and intersecurity subsidization on the New York Stock Exchange. J. Finance 52:1615–1640.Crossref, Google Scholar
• Cardella L, Hao J, Kalcheva I (2013) Make and take fees in the U.S. equity market. Working paper, Texas Tech University, Lubbock.Google Scholar
• Chakravarty S, Gulen H, Mayhew S (2004) Informed trading in stock and option markets. J. Finance 59:1235–1257.Crossref, Google Scholar
• Chung K, Chuwonganant C, McCormick D (2004) Order preferencing and market quality on NASDAQ before and after decimalization. J. Financial Econom. 71:581–612.Crossref, Google Scholar
• Chung K, Chuwonganant C, McCormick D (2006) Does internalization diminish the impact of quote aggressiveness on dealer market share? J. Financial Intermediation 15:108–131.Crossref, Google Scholar
• Colliard J, Foucault T (2012) Trading fees and efficiency in limit order markets. Rev. Financial Stud. 25:3389–3421.Crossref, Google Scholar
• Corwin S, Coughenour J (2008) Limited attention and the allocation of effort in securities trading. J. Finance 63:3031–3067.Crossref, Google Scholar
• De Fontnouvelle P, Fishe R, Harris J (2003) The behavior of bid-ask spreads and volume in options markets during the competition for listings in 1999. J. Finance 58:2437–2462.Crossref, Google Scholar
• Foucault T, Menkveld A (2008) Competition for order flow and smart order routing systems. J. Finance 63:119–158.Crossref, Google Scholar
• Foucault T, Kadan O, Kandel E (2013) Liquidity cycles and make/take fees in electronic markets. J. Finance 68:299–341.Crossref, Google Scholar
• Goldstein M, Shkilko A, Van Ness B, Van Ness R (2008) Competition in the market for NASDAQ securities. J. Financial Markets 11:113–143.Crossref, Google Scholar
• Hansch O, Naik NY, Viswanathan S (1999) Preferencing, internalization, best execution, and dealer profits. J. Finance 54:1799–1828.Crossref, Google Scholar
• Hao J, Kalay A, Mayhew S (2010) Ex-dividend arbitrage in options markets. Rev. Financial Stud. 23:271–303.Crossref, Google Scholar
• Hope B, Patterson S (2014) NYSE plan would revamp trading. Wall Street Journal (December 17), http://www.wsj.com/articles/intercontinental-exchange-proposing-major-stock-market-overhaul-1418844900.Google Scholar
• Hu J (2014) Does option trading convey stock price information? J. Financial Econom. 111:625–645.Crossref, Google Scholar
• Huang R (2002) The quality of ECN and NASDAQ market maker quotes. J. Finance 57:1285–1319.Crossref, Google Scholar
• Lutat M (2010) The effect of maker-taker pricing on market liquidity in electronic trading systems—Empirical evidence from European equity trading. Working paper, Goethe University Frankfurt, Frankfurt, Germany.Crossref, Google Scholar
• Malinova K, Park A (2015) Subsidizing liquidity: The impact of make/take fees on market quality. J. Finance 70:509–536.Crossref, Google Scholar
• Mayhew S (2002) Competition, market structure and bid-ask spreads in stock option markets. J. Finance 57:931–958.Crossref, Google Scholar
• Michaels D (2014) Trading rebates skew markets, NYSE and allies tell SEC. Bloomberg Business (February 21), http://www.bloomberg.com/news/articles/2014-02-21/trading-rebates-skew-markets-nyse-and-allies-tell-sec.Google Scholar
• Muravyev D, Pearson ND, Broussard JP (2013) Is there price discovery in equity options? J. Financial Econom. 107:259–283.Crossref, Google Scholar
• Neal R (1987) Potential competition and actual competition in equity options. J. Finance 42:511–531.Crossref, Google Scholar
• Neal R (1992) A comparison of transaction costs between competitive market maker and specialist market structures. J. Bus. 65:317–334.Crossref, Google Scholar
• Options Clearing Corporation (2009) Options order protection and locked/crossed market plan. Contract, OCC, Chicago.Google Scholar
• Parlour C, Rajan U (2003) Payment for order flow. J. Financial Econom. 68:379–411.Crossref, Google Scholar
• Patterson S, Ackerman A (2014) Regulators weigh curbs on trading fees. Wall Street Journal (April 14), http://www.wsj.com/articles/SB10001424052702303887804579501881218287694.Google Scholar
• Sofianos G (1995) Specialist gross trading revenues at the New York Stock Exchange. NYSE Working Paper 95-01, New York Stock Exchange, New York.Google Scholar
• U.S. Commodity Futures Trading Commission (2010) Preliminary findings regarding the market events of May 6, 2010: Report of the staffs of the CFTC and SEC to the joint advisory committee on emerging regulatory issues. Joint report, U.S. Commodity Futures Trading Commission and U.S. Securities and Exchange Commission, Washington, DC.Google Scholar
• U.S. Securities and Exchange Commission (2004) Competitive developments in the options markets. Concept release 34-49175, 17 CFR Part 240, File S7-07-04, U.S. Securities and Exchange Commission, Washington, DC.Google Scholar
• Vijh AM (1990) Liquidity of the CBOE equity options. J. Finance 45:1157–1179.Crossref, Google Scholar