Abstract
The implementation of MiFID has lead to fragmentation of liquidity in European equity trading. We analyze longterm effects of MiFID on liquidity with a new sample of Swiss stocks and do not find evidence for a worsening of market quality. In contrast, liquidity measures indicate a general increase in market quality. The analyzis of information information processing on Chi-X and the Swiss exchange reveals that according to Hasbrouck information shares, the determination of a leading market is not conclusively possible. By applying an autoregressive conditional intensity (ACI) model that explicitly takes the asynchronous structure of order arrivals into account, we find strong evidence that Chi-X is the leading market in terms of intensity based information shares.
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Grünbichler, A., Kohler, A., von Wyss, R. (2017). Equity Market Fragmentation in the Swiss Market. In: Francioni, R., Schwartz, R. (eds) Equity Markets in Transition. Springer, Cham. https://doi.org/10.1007/978-3-319-45848-9_23
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DOI: https://doi.org/10.1007/978-3-319-45848-9_23
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