Why Do Different Stocks Fragment Differently?
Projekt Start: | 07/2014 |
Status: | Beendet |
Forscher: | Peter Gomber, Moritz Christian Weber |
Kategorie: | Financial Markets |
Finanziert von: | LOEWE |
One of the biggest successes of the Markets in Financial Instruments Directive (MiFID) has been the emergence of a truly competitive trading landscape in the European equities market. However, this fragmentation has not been uniform across the entire European stock universe. There are differences across different European indices as well as across stocks within a single index. In the first study, we examine the cross-sectional and time-series determinants of differences in the levels of fragmentation. Determinants considered include stock characteristics, venues’ trading protocols, and possible cherry-picking by trading venues concerning the stocks admitted for trading.
Regulatory changes in the US and EU have brought forth a wealth of research on the trade-off between innovation and cost reduction arising from the existence of competition, and potentially detrimental effects on liquidity due to network externalities. We examine the isolated effects of competition and fragmentation by studying changes in liquidity and price efficiency around specific changes in market structure (technological integration following the merger and change in fee levels) after two venues merge.
Zugehörige publizierte Papers
Forscher/innen | Titel | Jahr | Programmbereich | Keywords |
---|---|---|---|---|
Peter Gomber, Ilya Gvozdevskiy | Dark Trading under MiFID II Regulation of the EU Financial Markets: MiFID II and MiFIR (Oxford University Press) | 2017 | Financial Markets | |
Benedikt Thomas Jaeger | MiFID: Eine systematische Analyse der Zielerreichung Zeitschrift für Bankrecht und Bankwirtschaft | 2014 | Financial Markets |
Related Policy Publications
Forscher/innen | Titel | Publiziert |
---|---|---|
Peter Gomber, Benedikt Thomas Jaeger | MiFID: Eine systematische Analyse der Zielerreichung White Paper No. 14 | 2014 |