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dc.contributor.authorGresse, Carole*
dc.date.accessioned2012-04-05T13:48:53Z
dc.date.available2012-04-05T13:48:53Z
dc.date.issued2013-06
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/8775
dc.language.isoenen
dc.subjectFragmentationen
dc.subjectLiquidityen
dc.subjectMultilateral Trading Facilityen
dc.subjectMTFen
dc.subjectOTC tradingen
dc.subjectInternalizationen
dc.subjectDark tradingen
dc.subject.ddc658.1en
dc.subject.classificationjelG.G1.G14en
dc.subject.classificationjelG.G1.G15en
dc.subject.classificationjelG.G1.G18en
dc.titleEffects of Lit and Dark Trading Venue Competition on Liquidity : The MiFID Experienceen
dc.typeCommunication / Conférence
dc.description.abstractenBased on trade and quote data from eight exchanges and a trade reporting facility for a sample of LSE- and Euronext-listed equities, this article compares the consolidated liquidity of competing markets, also called global liquidity, and the local liquidity of the primary exchang, before and after MiFID. It then investigates how liquidity measured by spreads and best-quote depth relate to market fragmentation and internalization after MiFID. Market fragmentation is found to improve global and local liquidity, with spreads decreasing proportionally to market competition. The decline in depth observed in the early post-MiFID period is driven by other factors than market fragmentation. The only harmful effect is that fragmentation may reduce market depth for small stocks. Further, internalization is not found to be detrimental for liquidity.en
dc.identifier.citationpages49en
dc.description.sponsorshipprivateouien
dc.subject.ddclabelOrganisation et finances d'entrepriseen
dc.relation.conftitle2013 FMA European Conference
dc.relation.confdate2013-06
dc.relation.confcityLuxembourg
dc.relation.confcountryLuxembourg
dc.description.halcandidateoui
dc.description.readershiprecherche
dc.description.audienceInternational
hal.person.labIds1032*
hal.identifierhal-01632517*


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