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Heinrich Von Wyss
Title
Dr.
Last Name
Von Wyss
First name
Heinrich
Email
heinrich.vonwyss@unisg.ch
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PublicationFragmentation in European Equity Markets and Market Quality - Evidence from the Analysis of Trade-ThroughsThe implementation of MiFID has lead to a fragmentation of liquidity in European equity trading. We analyze the long-term effects of MiFID on liquidity with a new sample of Swiss stocks and do not find evidence for a worsening of market quality. In contrast, spread and depth measures indicate a general increase in market quality. Given the non-existence of a consolidated tape in Europe, we examine whether trade-throughs prevent the emergence of a virtually consolidated market. We find evidence that trade-throughs originate from informed traders with a priority of execution speed over price and conclude that the occurrence of trade-throughs does not indicate an inferior market quality.