Does Smile help detect the UK’s Price Leadership Change after MiFID?
Mike, B. and Jing, C. and Guo, Qian and Xiaoxi, L. (2023) Does Smile help detect the UK’s Price Leadership Change after MiFID? International Review of Economics and Finance 84 , pp. 756-769. ISSN 1059-0560.
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Abstract
We investigate intraday realised volatility, trading volume, and information transmission following a series of changes to the Markets in Financial Instruments Directive (MiFID) in the UK. We find that multilateral trading facilities attract order flows from the London Stock Exchange (LSE) and hence introduce new dynamics to market provisions, such as volatility and information transmission. In addition, the structure of the order books and market depth changed after the introduction of MiFID in the UK. However, our novel study conveying smile patterns of volatility and volume suggests that the LSE continues to lead the rest of the multilateral venues. This shows that although MiFID has led to market segmentation, there is still clear price discovery among multilateral trading facilities.
Metadata
| Item Type: | Article |
|---|---|
| School: | Birkbeck Faculties and Schools > Faculty of Business and Law > Birkbeck Business School |
| Depositing User: | Christine Guo |
| Date Deposited: | 15 Dec 2022 14:05 |
| Last Modified: | 02 Aug 2023 18:19 |
| URI: | https://eprints.bbk.ac.uk/id/eprint/50058 |
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