Journal ArticleDOI
Who Wins When Exchanges Compete? Evidence from Competition after Euro Conversion
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In this article, the authors examined whether euro conversion affected competition among European exchanges with respect to equity trading costs and volume and found that average trading costs decreased by almost 20% in Europe, and turnover increased 10%.Abstract:
We examine whether euro conversion affected competition among European exchanges with respect to equity trading costs and volume. Results show that average trading costs decreased by almost 20% in Europe, and turnover increased 10%. Trading costs decreased or remained unchanged on all exchanges, but volume deteriorated in some markets and improved in others. These effects occurred on both euro and non-euro European exchanges. Our results suggest that euro conversion boosted competition for order flow among the exchanges. Paris, London and Milan were among the winners, while Madrid and Brussels lost volume. Both firm-specific and country-level factors contribute to these outcomes.read more
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The role of traditional exchanges in fragmented markets : an empirical analysis post MIFID
TL;DR: In this article, the impact of MiFID on trading intensity and market quality from an intraday and interday perspective by investigating the British equity market was analyzed by analyzing high frequency traders in a fragmented market environment.
Journal ArticleDOI
Has stock exchange demutualization improved market quality? International evidence
Kobana Abukari,Isaac Otchere +1 more
TL;DR: In this paper, the authors investigate the market quality effects of stock exchange demutualization and find that demundualized exchanges have achieved significant improvements in market quality following their conversion from mutual to for-profit structure.
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Posted Content
Law and Finance
Rafael La Porta,Rafael La Porta,Florencio Lopez de Silanes,Florencio Lopez de Silanes,Andrei Shleifer,Andrei Shleifer,Robert W. Vishny,Robert W. Vishny +7 more
TL;DR: This paper examined legal rules covering protection of corporate shareholders and creditors, the origin of these rules, and the quality of their enforcement in 49 countries and found that common law countries generally have the best, and French civil law countries the worst, legal protections of investors.
Journal ArticleDOI
Bid, ask and transaction prices in a specialist market with heterogeneously informed traders
TL;DR: The presence of traders with superior information leads to a positive bid-ask spread even when the specialist is risk-neutral and makes zero expected profits as discussed by the authors, and the expectation of the average spread squared times volume is bounded by a number that is independent of insider activity.
Journal ArticleDOI
Illiquidity and Stock Returns: Cross-Section and Time-Series Effects
TL;DR: In this paper, the effects of stock illiquidity on stock return have been investigated and it was shown that expected market illiquidities positively affects ex ante stock excess return (usually called risk premium) over time.
Journal ArticleDOI
A Theory of Intraday Patterns: Volume and Price Variability
Anat R. Admati,Paul Pfleiderer +1 more
TL;DR: In this paper, the authors developed a theory that concentrated trading patterns arise endogenously as a result of the strategic behavior of liquidity traders and informed traders and provided a partial explanation for some of the recent empitical findings concerning the patterns of volume and price variability in intraday transaction data.
Book ChapterDOI
Market Liquidity: Illiquidity and Stock Returns Cross-Section and Time-Series Effects＊
TL;DR: In this paper, the effects of stock illiquidity on stock return have been investigated and it was shown that expected market illiquidities positively affects ex ante stock excess return (usually called risk premium) over time.
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