Fragmentation vs. consolidation in Spanish Stock Exchange. A note.

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Show simple item record Tapia, Mikel 2022-04-06T17:58:57Z 2022-04-06T17:58:57Z 2017-01-01
dc.identifier.bibliographicCitation Tapia, M. (2017). Fragmentation vs. consolidation in Spanish Stock Exchange. A note. En The Spanish Review of Financial Economics, 15(1), pp. 33-39.
dc.identifier.issn 2173-1268
dc.description.abstract After the implementation of MiFID (I and II), competition is a reality in all the European Cash Markets. A natural consequence of competition is that orderflowis fragmented in different type of venues. This paper focuses on the consequences of fragmentation on the local market liquidity of the Spanish Stock Exchange (hereafter SSE). Our main result shows that, for our sample, fragmentation is relevant determining the cost of liquidity. Following the analysis of Degryse et al. (2014), the linear component of fragmentation has a positive and significant effect on liquidity (reduces spreads and increases Kyle’s Lambda) and the quadratic term has a negative and significant effect on liquidity (increases spreads and reduces Kyle’s Lambda). So, fragmentation is good for liquidity but beyond a given level of fragmentation, increasing it is worse for the liquidity of the regulated market.
dc.description.sponsorship Mikel Tapia acknowledges financial support from Ministerio de Ciencia y Tecnologia grant ECO2012-35023
dc.language.iso eng
dc.publisher Elsevier
dc.rights © 2017 Elsevier
dc.rights Atribución-NoComercial-SinDerivadas 3.0 España
dc.subject.other Competition
dc.subject.other Fragmentation
dc.subject.other Mifid
dc.title Fragmentation vs. consolidation in Spanish Stock Exchange. A note.
dc.type article
dc.subject.jel G10
dc.subject.jel G14
dc.subject.eciencia Economía
dc.subject.eciencia Empresa
dc.rights.accessRights openAccess
dc.relation.projectID Gobierno de España. ECO2012-35023
dc.type.version acceptedVersion
dc.identifier.publicationfirstpage 33
dc.identifier.publicationissue 1
dc.identifier.publicationlastpage 39
dc.identifier.publicationtitle Spanish Review of Financial Economics
dc.identifier.publicationvolume 15
dc.identifier.uxxi AR/0000018817
dc.contributor.funder Ministerio de Ciencia y Tecnología (España)
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