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	20 Jul 2022 17:14
URI:	https://www.alexandria.unisg.ch/publications/218538

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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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