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dc.contributor.authorEnde, Bartholomäusen_US
dc.contributor.authorLutat, Marcoen_US
dc.date.accessioned2010-11-15en_US
dc.date.accessioned2010-12-15T09:22:54Z-
dc.date.available2010-12-15T09:22:54Z-
dc.date.issued2010en_US
dc.identifier.piurn:nbn:de:hebis:30-78671-
dc.identifier.urihttp://hdl.handle.net/10419/43270-
dc.description.abstractThe new regulatory environment triggered by MiFID has resulted in a transformed competitive landscape and increased fragmentation among execution venues in Europe. One key component of MiFID is best execution, i.e. investment firms are obliged to achieve the best result for customer orders on a consistent basis. Specifically for retail transactions, the total consideration, i.e. price and explicit transaction costs, shall apply as a benchmark for the best result. In contrary to RegNMS, MiFID does not require to achieve the best result based on a real-time comparison of available prices. Therefore, after the introduction of MiFID the question on the extent of suboptimal order executions after transaction costs arises. Applying order book data for EURO STOXX 50 securities of ten European execution venues, this paper analyses suboptimal order executions including transaction costs by simulating an optimal Smart Order Routing engine. The results show that after explicit transaction costs, specifically cross-system settlement costs, still an economically relevant number of suboptimal order executions prevails. The developed methodology and parameters enable for assessing and future tracking of the efficiency of order execution in European equity markets and the effectiveness of regulatory measures both on the trading level, e.g. MiFID, or on the posttrading level, e.g. the Code of Conduct for Clearing and Settlement.en_US
dc.language.isoengen_US
dc.publisherCenter for Financial Studies Frankfurt, Mainen_US
dc.relation.ispartofseriesCFS Working Paper 2010/15en_US
dc.subject.jelG14en_US
dc.subject.jelG15en_US
dc.subject.jelG24en_US
dc.subject.ddc330en_US
dc.titleTrade-throughs in European cross-traded equities after transaction costs: Empirical evidence for the EURO STOXX 50en_US
dc.typeWorking Paperen_US
dc.identifier.ppn63950793Xen_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:cfswop:201015-
Appears in Collections:CFS Working Paper Series, Universität Frankfurt a. M.

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