Travail de recherche/Working paper
| Résumé : | Our study aims to examine whether the market fragmentation and competition with the introduction of Multilateral Trading Facilities (MTFs) impact the price discovery dynamics after the implementation of MiFID. To do this, we measure the Information Shares (IS) to study relative price discovery for three major trading venues - NYSE Euronext Paris, BATS and Chi-X, using the intra-day best one-second spread midpoints. The results suggest that the Multilateral Trading Facilities (MTFs) contribute more to impounding fundamental information, implying a shift in price dominance from traditional regulated NYSE Euronext Paris to Multilateral Trading Facilities (MTFs), such as BATS and Chi-X. The intra-day price contributions of MTFs are higher on average than those of NYSE Euronext Paris for our period of study. |
