Spoilt for choice: Order routing decisions in fragmented equity markets

Arbeitspapier

The equity trading landscape all over the world has changed dramatically in recent years. We have witnessed the advent of new trading venues and significant changes in the market shares of existing ones. We use an extensive panel dataset from the European equity markets to analyze the market shares of five categories of lit and dark trading mechanisms. Market design features, such as minimum tick size, immediacy and anonymity; market conditions, such as liquidity and volatility; and the informational environment have distinct implications for order routing decisions and trading venues' resulting market shares. Furthermore, these implications differ distinctly for small and large trades, probably because traders jointly optimize their trade size and venue choice. Our results both confirm and go beyond current theoretical predictions on trading in fragmented markets.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: SAFE Working Paper ; No. 143

Classification and Topics

• Classification: Wirtschaft ; General Financial Markets: General (includes Measurement and Data) ; Asset Pricing; Trading Volume; Bond Interest Rates
• Subject: dark trading ; fragmentation ; anonymity ; immediacy

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Gomber, Peter ; Sagade, Satchit ; Theissen, Erik ; Weber, Moritz Christian ; Westheide, Christian
• Event: Veröffentlichung
• (who): Goethe University Frankfurt, SAFE - Sustainable Architecture for Finance in Europe
• (where): Frankfurt a. M.
• (when): 2016

Further information

• DOI: doi:10.2139/ssrn.2839285
• Handle: http://hdl.handle.net/10419/146384
• URN: urn:nbn:de:hebis:30:3-416950
• Last update: 10.03.2025, 11:42 AM CET