| Item Type |
Monograph
(Working Paper)
|
| 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. |
| Authors |
Kohler, Alexander & von Wyss, Rico |
| Language |
English |
| Keywords |
MiFID, MTF, Market Quality, Trade-Through |
| Subjects |
business studies |
| HSG Classification |
contribution to scientific community |
| Refereed |
No |
| Date |
2012 |
| Publisher |
s/bf - HSG |
| Series Name |
SoF Working Paper Series |
| Number |
2012/10 |
| Depositing User |
Dr. Rico von Wyss
|
| Date Deposited |
07 Dec 2012 09:16 |
| Last Modified |
20 Jul 2022 17:14 |
| URI: |
https://www.alexandria.unisg.ch/publications/218541 |
Fragmentation in European Equity Markets and Market Quality - Evidence from the Analysis of Trade-Throughs
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