Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/266688 
Year of Publication: 
2022
Series/Report no.: 
SAFE Working Paper No. 367
Publisher: 
Leibniz Institute for Financial Research SAFE, Frankfurt a. M.
Abstract: 
We analyze how market fragmentation affects market quality of SME and other less actively traded stocks. Compared to large stocks, they are less likely to be traded on multiple venues and show, if at all, low levels of fragmentation. Concerning the impact of fragmentation on market quality, we find evidence for a hockey stick effect: Fragmentation has no effect for infrequently traded stocks, a negative effect on liquidity of slightly more active stocks, and increasing benefits for liquidity of large and actively traded stocks. Consequently, being traded on multiple venues is not necessarily harmful for SME stock market quality.
Subjects: 
Market Microstructure
Market Fragmentation
Securities Market Regulation
Market Quality
SME Trading
JEL: 
G10
G14
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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