Effects of change in commission fees on China futures market

Yu Wu and Tong Zhang

Finance Research Letters, 2019, vol. 31, issue C, 54-65

Abstract: Between August 2 and 27, 2010, the Shanghai Futures Exchange increased commission fees for day traders of zinc and natural rubber futures contracts by changing from a single-trip to a round-trip commission. This experiment provides a unique opportunity to study the effects of changes in commission fees only for speculators on market liquidity, trading volume, and return volatility within an order-driven futures market. The results show that an increase in commission fees for speculators in an order-driven futures market has a positive effect on return volatility but no significant effect on trading volume and bid-ask spreads.

Keywords: Commission fee; Return volatility; Futures market; Market microstructure; G10; G12; G13 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:31:y:2019:i:c:p:54-65

DOI: 10.1016/j.frl.2019.04.010

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