Heinrich Von Wyss
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Dr.
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Von Wyss
First name
Heinrich
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heinrich.vonwyss@unisg.ch
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Performance Schweizerischer Anlagestiftungen

2002-12-01 , Ammann, Manuel , Häller, Corinne , von Wyss, Rico

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

2012 , Kohler, Alexander , von Wyss, Rico

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.

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Was ist mit dem Dollar los?

2008-04-09 , Ammann, Manuel , von Wyss, Rico

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

2012 , Kohler, Alexander , von Wyss, Rico

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.

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