Social and Behavioral Sciences Commons^™

Impacts Of Zero-Commission Trading On Stock Market Liquidity, Jie Hu

Electronic Theses and Dissertations

With the elimination of commission fees of retail brokers, zero-commission trading became the new normal after October 2019. This study employs DTAQ data to calculate ten different market liquidity measures and finds that the implementation of zero-commission trading significantly improves market liquidity. This effect is also significant after related factors including trading volume, price volatility, market performance, opening effect, and closing effect are controlled. By explicitly modeling the simultaneity nature among market liquidity measures, trading volume, and price volatility, this study finds that there is a positive relationship between spread and price volatility. The implementation of zero-commission trading decreases price …