MiFID II: A First Empirical Evaluation of its Effects on Equity Markets

Projekt Start:01/2018
Forscher:Peter Gomber, Thomas Johann, Jan Pieter Krahnen, Francesco Poli, Satchit Sagade, Erik Theissen, Christian Westheide
Kategorie: Financial Markets
Finanziert von:LOEWE

One of the most important proposals outlined in MiFID II is the introduction of caps on trading conducted in dark pools. Dark pools are venues which do not provide pre-trade transparency i.e., these venues do not provide quotes to market participants but instead use a derivative-pricing mechanism wherein they use the price on a lit venues to execute their trades. The proliferation of dark markets during the last decade has become a cause of concern for regulators, policy-makers and market participants. In particular, there are concerns that a high level of dark trading may reduce the efficiency of the price discovery process. Further, to the extent that dark venues attract uninformed order flow from the lit markets, the liquidity of the latter may be impaired. On the other hand, dark pools allow investors to avoid information leakage during the trading process and also allows them to trade in large sizes. A first paper will be concerned with examining the impact of the constraints created by the caps on dark trading on liquidity and market quality. Another important change is the introduction of a common tick size regime in European markets. At this stage it is unclear what variables will be used as an input while determining the tick sizes. We would like to examine the impact of any potential changes in tick sizes resulting from this, in light of the model introduced in Work Package A.

Zugehörige publizierte Papers

Peter Gomber, Ilya GvozdevskiyDark Trading under MiFID II
Regulation of the EU Financial Markets: MiFID II and MiFIR (Oxford University Press)
2017 Financial Markets

Zugehörige Working Papers

253Thomas Johann, Talis Putnins, Satchit Sagade, Christian WestheideQuasi-Dark Trading: The Effects of Banning Dark Pools in a World of Many Alternatives2019 Financial Markets