Fragmentation in European Equity Markets and Market Quality – Evidence from the Analysis of Trade-Throughs

Alexander Kohler () and Rico von Wyss

No 1210, Working Papers on Finance from University of St. Gallen, School of Finance

Abstract: The implementation of MiFID has led to a fragmentation of liquidity in European equity trading. We analyze the long-term effects of MiFID on liquidity with a new sample of Swiss stocks and do not find evidence for a worsening of market quality. In contrast, spread and depth measures indicate a general increase in market quality. Given the non-existence of a consolidated tape in Europe, we examine whether trade-throughs prevent the emergence of a virtually consolidated market. We find evidence that trade-throughs originate from informed traders with a priority of execution speed over price and conclude that the occurrence of trade-throughs does not indicate an inferior market quality.

Keywords: MiFID; MTF; Market Quality; Trade-Through. (search for similar items in EconPapers)
JEL-codes: G14 G18 (search for similar items in EconPapers)
Pages: 47 pages
Date: 2012-10
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:usg:sfwpfi:2012:10

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