RT Journal Article
T1 Fragmentation vs. consolidation in Spanish Stock Exchange. A note.
A1 Tapia, Mikel
AB After the implementation of MiFID (I and II), competition is a reality in all the European Cash Markets. Anatural consequence of competition is that orderflowis fragmented in different type of venues. This paperfocuses 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 thecost of liquidity. Following the analysis of Degryse et al. (2014), the linear component of fragmentationhas a positive and significant effect on liquidity (reduces spreads and increases Kyle’s Lambda) and thequadratic term has a negative and significant effect on liquidity (increases spreads and reduces Kyle’sLambda). So, fragmentation is good for liquidity but beyond a given level of fragmentation, increasing itis worse for the liquidity of the regulated market.
PB Elsevier
SN 2173-1268
YR 2017
FD 2017-01-01
LK https://hdl.handle.net/10016/34540
UL https://hdl.handle.net/10016/34540
LA eng
NO Mikel Tapia acknowledges financial support from Ministerio de Ciencia yTecnologia grant ECO2012-35023
DS e-Archivo
RD 1 sept. 2024