Show simple item record

Market Fragmentation and Market Quality: The European Experience

dc.contributor.authorGresse, Carole
dc.date.accessioned2014-07-10T16:10:24Z
dc.date.available2014-07-10T16:10:24Z
dc.date.issued2014
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/13707
dc.language.isoenen
dc.subjectPrice quality
dc.subjectVariance ratio
dc.subjectMiFID
dc.subjectLiquidity
dc.subjectMarket fragmentation
dc.subject.ddc332en
dc.subject.classificationjelG14en
dc.subject.classificationjelG15en
dc.subject.classificationjelG18en
dc.titleMarket Fragmentation and Market Quality: The European Experience
dc.typeChapitre d'ouvrage
dc.description.abstractenThis book chapter provides an overview of market fragmentation in Europe since the first implementation of the Markets in Financial Instruments Directive (MiFID) on 1 November 2007. It makes a brief literature review on the consequences of lit and dark fragmentation for liquidity. It presents an empirical analysis of the effect of market fragmentation on price quality measured by price inefficiency coefficients (PICs) based on variance ratios for a sample of European large and medium capitalizations stocks. Contrary to the results by O’Hara and Ye (Journal of Financial Economics 100(3):459–474, 2011) for U.S. stocks, I do not find a clearly significant impact of market fragmentation on price quality. The only PICs to be affected are those based on 1-s to 5-s return variance ratios. According to 1-s to 5-s PICs: (1) the price quality of large UK equities improved with market fragmentation after MiFID; (2) the price quality of large Euronext equities improved with fragmentation in the primary market but deteriorated when measured across markets; and (3) the price quality of Euronext mid-caps was adversely affected. Notwithstanding these findings, price quality is not affected when measured at any other horizon.
dc.relation.ispartoftitleMarket Microstructure and Nonlinear Dynamics. Keeping Financial Crisis in Context
dc.relation.ispartofeditorLouhichi, Waël
dc.relation.ispartofpublnameSpringer
dc.relation.ispartofpublcityBerlin Heidelberg
dc.relation.ispartofdate2014
dc.relation.ispartofurl10.1007/978-3-319-05212-0
dc.subject.ddclabelEconomie financièreen
dc.relation.ispartofisbn978-3-319-05211-3
dc.relation.forthcomingnonen
dc.identifier.doi10.1007/978-3-319-05212-0_1
dc.description.ssrncandidatenon
dc.description.halcandidateoui
dc.description.readershiprecherche
dc.description.audienceInternational
dc.date.updated2018-05-31T08:41:16Z


Files in this item

FilesSizeFormatView

There are no files associated with this item.

This item appears in the following Collection(s)

Show simple item record