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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

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MultiMarketTrading_Liquidity.pdf (157.2Kb)
Type
Communication / Conférence
Date
2011
Conference title
2011 FMA Annual Meeting
Conference date
2011-10
Conference city
Denver
Conference country
Etats-Unis
Pages
49
Metadata
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Author(s)
Gresse, Carole
Abstract (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 trading
JEL
G14 - Information and Market Efficiency; Event Studies; Insider Trading
G15 - International Financial Markets
G18 - Government Policy and Regulation

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