Fragmentation boursière, volatilité et investissements finaux

Cécile Bastidon ()

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Abstract: Résumé Even before the beginning of the crisis, intraday volatility in stock markets rises sharply, as soon as the Reg NMS (" Regulation National Market System ", in the United States, in October 2006) and MIFID (" Markets in Financial Instruments Directive ", in the European Union, in November 2007) directives, promoting free competition in equity securities markets, get implemented. Simultaneously, there is a large increase in quotes volumes, related to the growing markets fragmentation and important rise in the share of high frequency transactions resulting from those regulatory shocks. However, trade volumes decrease. We present a theoretical model which is aimed at describing the effects of these financial reforms shocks on stock markets volatility, and the resulting macroeconomic consequences when funding liquidity (i. e. in primary markets) is reduced.

Keywords: Volatilité des marchés d'actions; fragmentation des marchés d'actions; liquidité de financement; Stock markets volatility; stock markets fragmentation; funding liquidity (search for similar items in EconPapers)
Date: 2014-06-19
Note: View the original document on HAL open archive server: https://hal.science/hal-01021302v2
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Published in 31èmes Journées Internationales d'Economie Monétaire, Bancaire et Financière, Jun 2014, Lyon, France

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