Regulators, exchanges, and politicians are considering reining in maker-taker pricing, which is used as a competitive tool by trading venues to acquire order flow. Examining the 2013 reduction in trading fees operated by BATS on its European venues, we document significant effects on market...

In this paper we examine the information content of extreme trading activity in the Chinese stock market. We find that zero-investment portfolios that are constructed by buying high-volume and selling low-volume stocks do not generate positive returns (high-volume return premium), which is...

We investigate the information acquisition role of dark pool trading. The implementation of the European double volume cap (DVC) mechanism acts as an exogenous shock to help us understand how restrictions on dark trading affect the price discovery process for German stocks. Using the price jump...