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

Alexander Kohler & Rico Von Wyss

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.
   
type working paper (English)
   
keywords MiFID, MTF, Market Quality, Trade-Through
   
date of appearance 2012
series title SoF Working Paper Series
publisher s/bf - HSG
review not reviewed
   
citation Kohler, A., & von Wyss, R. (2012). Fragmentation in European Equity Markets and Market Quality - Evidence from the Analysis of Trade-Throughs. SoF Working Paper Series: s/bf - HSG.