  We report on the occurrence of an anomaly in the price impacts of small
transaction volumes following a change in the fee structure of an electronic
market. We first review evidence for the existence of a master curve for price
impact on the Johannesburg Stock Exchange (JSE). On attempting to re-estimate a
master curve after fee reductions, it is found that the price impact
corresponding to smaller volume trades is greater than expected relative to
prior estimates for a range of listed stocks. We show that a master curve for
price impact can be found following rescaling by an appropriate liquidity
proxy, providing a means for practitioners to approximate price impact curves
without onerous processing of tick data.
