
Effects of the Competition between Multiple Trading Platforms on Market Liquidity : Evidence from the MiFID Experience
Gresse, Carole (2011), Effects of the Competition between Multiple Trading Platforms on Market Liquidity : Evidence from the MiFID Experience, 2011 FMA Annual Meeting, 2011-10, Denver, Etats-Unis
Type
Communication / ConférenceDate
2011Conference title
2011 FMA Annual MeetingConference date
2011-10Conference city
DenverConference country
Etats-UnisPages
49
Metadata
Show full item recordAuthor(s)
Gresse, CaroleAbstract (EN)
Based on high frequency data from eight exchanges and a trade reporting facility for a sample of LSE- and Euronext-listed equities, this article compares global and local liquidity before and after MiFID and investigates how liquidity relates to market fragmentation and internalization. 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 seems 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 proved to be detrimental for liquidity.Subjects / Keywords
Liquidity; Multilateral Trading Facility; Internalization; Fragmentation; MTF; OTC tradingRelated items
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