The anatomy of a fee change - Evidence from cryptocurrency markets

Brauneis, Alexander ; Mestel, Roland ; Riordan, Ryan ; Theissen, Erik

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Document Type: Article
Year of publication: 2022
The title of a journal, publication series: Journal of Empirical Finance
Volume: 67
Page range: 152-167
Place of publication: Amsterdam [u.a.]
Publishing house: Elsevier
ISSN: 0927-5398
Publication language: English
Institution: Business School > ABWL u. Finanzierung (Theissen)
Subject: 330 Economics
Abstract: We analyze the impact on liquidity and trading activity of the introduction of maker fees (and simultaneous reduction of taker fees) on a leading cryptocurrency trading platform. Cryptocurrency markets are special because they are non-intermediated and highly fragmented. Furthermore, for the currency pair we analyze (BTC–USD) the relative minimum tick size is negligible, a feature which allows us to derive predictions from the Colliard and Foucault (2012) model which assumes a zero minimum tick size. Consistent with the model we find that quoted spreads increase after the fee change. However, the increase is overcompensated by the decrease in taker fees. Quoted depth and the number of transactions decrease while the average trade size increases.

Dieser Eintrag ist Teil der Universitätsbibliographie.

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