Arbeitspapier

The effect of fragmentation in trading on market quality in the UK equity market

We investigate the effects of fragmentation in equity trading on the quality of the trading outcomes, specifically volatility, liquidity and volume. We use panel regression methods on a weekly dataset following the FTSE350 stocks over the period 2008-2011, which provides a lot of cross-sectional and time series variation in fragmentation. This period coincided with a great deal of turbulence in the UK equity markets which had multiple causes that need to be controlled for. To achieve this, we use a version of the common correlated effects estimator (Pesaran, 2006). One finding is that volatility is lower in a fragmented market when compared to a monopoly. Trading volume at the London Stock Exchange is lower too, but global trading volume is higher if order flow is fragmented across multiple venues. When separating overall fragmentation into visible fragmentation and dark reading, we find that the decline in LSE volume can be attributed to visible fragmentation, while the increase in global volume is due to dark trading.

Sprache
Englisch

Erschienen in
Series: cemmap working paper ; No. CWP42/13

Klassifikation
Wirtschaft
Single Equation Models; Single Variables: Panel Data Models; Spatio-temporal Models
Financial Institutions and Services: Government Policy and Regulation
Market Structure, Firm Strategy, and Market Performance: General
Thema
Heterogenous panel data
quantile regression
MiFID

Ereignis
Geistige Schöpfung
(wer)
Körber, Lena
Linton, Oliver
Vogt, Michael
Ereignis
Veröffentlichung
(wer)
Centre for Microdata Methods and Practice (cemmap)
(wo)
London
(wann)
2013

DOI
doi:10.1920/wp.cem.2013.4213
Handle
Letzte Aktualisierung
10.03.2025, 11:45 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Arbeitspapier

Beteiligte

  • Körber, Lena
  • Linton, Oliver
  • Vogt, Michael
  • Centre for Microdata Methods and Practice (cemmap)

Entstanden

  • 2013

Ähnliche Objekte (12)