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Effects of change in commission fees on China futures market

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  • Wu, Yu
  • Zhang, Tong

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.

Suggested Citation

  • Wu, Yu & Zhang, Tong, 2019. "Effects of change in commission fees on China futures market," Finance Research Letters, Elsevier, vol. 31(C), pages 54-65.
    • Handle: RePEc:eee:finlet:v:31:y:2019:i:c:p:54-65
    DOI: 10.1016/j.frl.2019.04.010
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    References listed on IDEAS

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    Cited by:

    1. Zhang, Lihong & Wang, Jun & Wang, Bin, 2020. "Energy market prediction with novel long short-term memory network: Case study of energy futures index volatility," Energy, Elsevier, vol. 211(C).
    2. Hyuna Ham & Hoon Cho & Hyeongjun Kim & Doojin Ryu, 2019. "Time‐series momentum in China's commodity futures market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(12), pages 1515-1528, December.

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    More about this item

    Keywords

    Commission fee; Return volatility; Futures market; Market microstructure; G10; G12; G13;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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