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Multi-Market Trading and Market Quality

Gresse, Carole (2010), Multi-Market Trading and Market Quality. https://basepub.dauphine.fr/handle/123456789/3148

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multimarkettrading_marketquality.pdf (176.0Kb)
Type
Document de travail / Working paper
Date
2010
Publisher
Université Paris-Dauphine
Published in
Paris
Pages
36
Metadata
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Author(s)
Gresse, Carole
Abstract (EN)
This empirical study based on data from several exchanges and trading platforms for a sample of 153 European blue chip stocks over a post-MiFID three-month period shows that the way liquidity correlates with fragmentation is diverse and depends on the market, the type of liquidity metrics, and the type of fragmentation that is considered. All in all, fragmentation seems to be more beneficial to global traders trading in several market places than to local traders trading on the primary exchange only, which confirms the crucial role of order routing systems in fragmented markets. Further, fragmentation adversely affects price quality by increasing short-term volatility. That adverse effect is assignable to market-traded order flow fragmentation but not to internalization.
Subjects / Keywords
Fragmentation; Price Quality; OTC Trading; Liquidity; Multilateral Trading Facility (MTF); Systematic Internalizer (SI)
JEL
G14 - Information and Market Efficiency; Event Studies; Insider Trading
G15 - International Financial Markets
G18 - Government Policy and Regulation

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