Fragmentation in European Equity Markets and Market Quality - Evidence from the Analysis of Trade-Throughs
Series
SoF Working Paper Series
Type
working paper
Date Issued
2012
Author(s)
Abstract
The 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.
Language
English
Keywords
MiFID
MTF
Market Quality
Trade-Through
HSG Classification
contribution to scientific community
Refereed
No
Publisher
s/bf - HSG
Number
2012/10
Subject(s)
Eprints ID
218541
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open.access
Name
12_10_vonWyss et al_Fragmentation in European Equity Markets.pdf
Size
307.42 KB
Format
Adobe PDF
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