Cross-Border trading and Price discovery in High-Frequency markets

Roland Gillet, Stéphanie Ligot and Iryna Veryzhenko ()
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Stéphanie Ligot: UP1 EMS - Université Paris 1 Panthéon-Sorbonne - École de Management de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne
Iryna Veryzhenko: Cnam - Conservatoire National des Arts et Métiers [Cnam], LIRSA - Laboratoire interdisciplinaire de recherche en sciences de l'action - Cnam - Conservatoire National des Arts et Métiers [Cnam]

Working Papers from HAL

Abstract: As far as the process of market fragmentation accelerates, it is of great importance to figure out where price discovery occurs. This article examines whether fragmentation and competition resulting from Multilateral Trading Facilities (MTFs) impact price discovery after the implementation of the Market in Financial Instruments Directive. We measure Information Shares (IS) for CAC40 stocks to study relative price discovery for three European trading venues - the Euronext, BATS, and Chi-X Europe, using the intra-day, best one-second spread midpoints in 2012 and 2017. The results suggest that MTFs contribute significantly to impounding fundamental information. Consequently, it is important to ensure that the price discovery is correctly consolidated across the different capital markets in a cross-border trading environment.

Date: 2024-02-05
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Persistent link: https://EconPapers.repec.org/RePEc:hal:wpaper:hal-04440662

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