Where does Information Processing in a Fragmented Market Take Place? – Evidence from the Swiss Stock Market after MiFID

Alexander Kohler () and Rico von Wyss

No 1209, Working Papers on Finance from University of St. Gallen, School of Finance

Abstract: The implementation of MiFID lead to fragmentation of trading in European equities. We analyze information processing for a sample of Swiss stocks on the Swiss exchange and on Chi-X, the largest multilateral trading facility. 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.

Keywords: MiFID; Price Discovery; Multivariate Autoregressive Conditional Intensity. (search for similar items in EconPapers)
JEL-codes: C32 C51 G14 G18 (search for similar items in EconPapers)
Pages: 43 pages
Date: 2012-06
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:usg:sfwpfi:2012:09

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