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dc.contributor.authorGresse, Carole
dc.date.accessioned2010-01-26T17:23:12Z
dc.date.available2010-01-26T17:23:12Z
dc.date.issued2010
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/3148
dc.language.isoenen
dc.subjectFragmentationen
dc.subjectPrice Qualityen
dc.subjectOTC Tradingen
dc.subjectLiquidityen
dc.subjectMultilateral Trading Facility (MTF)en
dc.subjectSystematic Internalizer (SI)en
dc.subject.ddc332en
dc.subject.classificationjelG14en
dc.subject.classificationjelG15en
dc.subject.classificationjelG18en
dc.titleMulti-Market Trading and Market Qualityen
dc.typeDocument de travail / Working paper
dc.description.abstractenThis 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.en
dc.publisher.nameUniversité Paris-Dauphine
dc.publisher.cityParis
dc.identifier.citationpages36
dc.description.sponsorshipprivateouien
dc.subject.ddclabelEconomie financièreen


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