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

Alexander Kohler & Rico Von Wyss

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.
   
type working paper (English)
   
keywords MiFID, Price Discovery, Multivariate Autoregressive Conditional Intensity
   
date of appearance 2012
series title SoF Working Paper Series
publisher s/bf - HSG
review not reviewed
   
citation Kohler, A., & von Wyss, R. (2012). Where does Information Processing in a Fragmented Market Take Place? – Evidence from the Swiss Stock Market after MiFID. SoF Working Paper Series: s/bf - HSG.