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Pré-Publication, Document De Travail Année : 2024

Cross-Border trading and Price discovery in High-Frequency markets

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 (IS) for CAC40 stocks 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 in 2012 and 2017. The results suggest that MTFs contribute significantly to impounding fundamental information. Consequently, it is important to ensure that the price discovery is correctly consolidated across the different capital markets in a cross-border trading environment.
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Dates et versions

hal-04440662 , version 1 (06-02-2024)

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  • HAL Id : hal-04440662 , version 1

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Roland Gillet, Stéphanie Ligot, Iryna Veryzhenko. Cross-Border trading and Price discovery in High-Frequency markets. 2024. ⟨hal-04440662⟩
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