The determinants of alternative trading venue market share: Global evidence from the introduction of Chi-X

Peng William He, Elvis Jarnecic and Yubo Liu

Journal of Financial Markets, 2015, vol. 22, issue C, 27-49

Abstract: In this paper, we examine market share drivers of a prominent alternative trading venue (Chi-X) in an international context. We find that Chi-X׳s market share is negatively related to trading fees and latency, while positively related to liquidity relative to primary exchanges. Venue market share is negatively related to order-to-trade ratio and positively related to average trade size, suggesting traders’ preference to interact with natural and accessible liquidity. Furthermore, trading tends to concentrate on the primary exchange during market stress, while tick constraint stocks tend to trade more on Chi-X to avoid queuing at the touch on the primary exchange.

Keywords: Alternative trading venues; Chi-X; Market quality; Liquidity quality; Pricing efficiency (search for similar items in EconPapers)
JEL-codes: G10 G12 G15 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (21)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finmar:v:22:y:2015:i:c:p:27-49

DOI: 10.1016/j.finmar.2014.10.002

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