Where does Information Processing in a Fragmented Market Take Place? - Evidence from the Swiss Stock Market after MiFID

Item Type Monograph (Working Paper)
Abstract

The implementation of MiFID lead to fragmentation of trading in European equities. We analyze information processing for a sample of Swiss stocks on the Swiss exchange and on Chi-X, the largest multilateral trading facility. According to Hasbrouck information shares, the determination of a leading market is not conclusively possible. By applying an autoregressive conditional intensity (ACI) model that explicitly takes the asynchronous structure of order arrivals into account, we find strong evidence that Chi-X is the leading market in terms of intensity based information shares.

Authors Kohler, Alexander & von Wyss, Rico
Language English
Keywords MiFID, Price Discovery, Multivariate Autoregressive Conditional Intensity
Subjects business studies
HSG Classification contribution to scientific community
Refereed No
Date 2012
Publisher s/bf - HSG
Series Name SoF Working Paper Series
Number 2012/9
Depositing User Dr. Rico von Wyss
Date Deposited 07 Dec 2012 09:12
Last Modified 23 Aug 2016 11:15
URI: https://www.alexandria.unisg.ch/publications/218538

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Citation

Kohler, Alexander & von Wyss, Rico: Where does Information Processing in a Fragmented Market Take Place? - Evidence from the Swiss Stock Market after MiFID. SoF Working Paper Series, 2012, 2012/9.

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https://www.alexandria.unisg.ch/id/eprint/218538
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