Where does Information Processing in a Fragmented Market Take Place? - Evidence from the Swiss Stock Market after MiFID
Series
SoF Working Paper Series
Type
working paper
Date Issued
2012
Author(s)
Kohler, Alexander
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.
Language
English
Keywords
MiFID
Price Discovery
Multivariate Autoregressive Conditional Intensity
HSG Classification
contribution to scientific community
Refereed
No
Publisher
s/bf - HSG
Number
2012/9
URL
Subject(s)
Division(s)
Eprints ID
218538
File(s)