Fragmentation in European Equity Markets and Market Quality - Evidence from the Analysis of Trade-Throughs

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 23 Aug 2016 11:15
URI: https://www.alexandria.unisg.ch/publications/218541

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Citation

Kohler, Alexander & von Wyss, Rico: Fragmentation in European Equity Markets and Market Quality - Evidence from the Analysis of Trade-Throughs. SoF Working Paper Series, 2012, 2012/10.

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https://www.alexandria.unisg.ch/id/eprint/218541
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