Spoilt for choice: Determinants of market shares in fragmented equity markets

Peter Gomber, Satchit Sagade, Erik Theissen, Moritz Christian Weber and Christian Westheide

Journal of Financial Markets, 2023, vol. 64, issue C

Abstract: We analyze the determinants of the trading volumes of different trading mechanisms in equity markets using an extensive panel data set from European markets comprising public limit order books, call auctions, dark pools, internalization platforms, and the over-the-counter market. Market shares, resulting from investors’ order routing decisions, are driven by the degree of immediacy and anonymity offered by the venues, their ability to offer off-tick executions, as well as the informational environment and conditions in the market. Findings for small and large trades are distinctly different, likely because traders jointly choose trade size and venue type.

Keywords: Dark trading; Fragmentation; Anonymity; Immediacy (search for similar items in EconPapers)
JEL-codes: G10 G12 (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finmar:v:64:y:2023:i:c:s1386418123000149

DOI: 10.1016/j.finmar.2023.100816

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