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.
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