BIROn - Birkbeck Institutional Research Online

    The impact of multilateral trading facilities on price discovery

    Buckle, M. and Chen, J. and Guo, Qian and Li, X. (2018) The impact of multilateral trading facilities on price discovery. Financial Markets, Institutions & Instruments 27 (4), pp. 145-165. ISSN 0963-8008.

    [img]
    Preview
    Text
    20649.pdf - Author's Accepted Manuscript

    Download (1MB) | Preview
    [img]
    Preview
    Text
    20649a.pdf - Published Version of Record
    Available under License Creative Commons Attribution.

    Download (394kB) | Preview

    Abstract

    Our study aims to examine whether market segmentation and competition manifested in the proliferation of multilateral trading facilities (MTFs) improve market quality after the implementation of MiFID. To do this, we employ the Common Factor Weight and Weighted Price Contribution methods to study relative price discovery for three major MTFs—LSE, BATS, and Turquoise, using intra-day, five-minute transaction prices. The results suggest that the two trading venues, BATS and Turquoise, contribute more to impounding fundamental information, implying a shift in price dominance from traditional LSE to MTFs. In addition, the intra-day price contributions of MTFs are higher than those of LSE, especially during the first and last periods of the day. The estimated average daily price contributions are consistent with this result.

    Metadata

    Item Type: Article
    Additional Information: This is the peer reviewed version of the article, which has been published in final form at the link above. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Self-Archiving.
    Keyword(s) / Subject(s): Multilateral Trading Facilities, Price Discovery, Post-MiFID, Common Factor Weight, Weighted Price Contribution
    School: Birkbeck Faculties and Schools > Faculty of Business and Law > Birkbeck Business School
    Depositing User: Administrator
    Date Deposited: 15 Dec 2017 19:35
    Last Modified: 02 Aug 2023 17:38
    URI: https://eprints.bbk.ac.uk/id/eprint/20649

    Statistics

    Activity Overview
    6 month trend
    553Downloads
    6 month trend
    292Hits

    Additional statistics are available via IRStats2.

    Archive Staff Only (login required)

    Edit/View Item
    Edit/View Item