Travail de recherche/Working paper
| Résumé : | As far as the process of market fragmentation accelerates, it is of great importance to figure out where price discovery occurs. This article examines whether fragmentation and competition resulting from Multilateral Trading Facilities (MTFs) impact price discovery after the implementation of the Market in Financial Instruments Directive. We measure Information Shares to study relative price discovery for three European trading venues - the Euronext, BATS, and Chi-X Europe, using the intra-day, best one-second spread midpoints. The results suggest that MTFs contribute more to impounding fundamental information, implying a shift in price dominance from a traditional regulated market to MTFs. The intraday price contributions of MTFs are higher on average than those of the Euronext Paris for our period of study. |
