Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/153952 
Autor:innen: 
Erscheinungsjahr: 
2013
Schriftenreihe/Nr.: 
ECB Working Paper No. 1519
Verlag: 
European Central Bank (ECB), Frankfurt a. M.
Zusammenfassung: 
We study the role of informed trading in a fragmented financial market under the absence of inter-market price priority. Due to frictions in traders’ market access, liquidity providers on alternative trading platforms may be exposed to an increased adverse selection risk. As a consequence, the main market dominates (offers better quotes) frequently albeit charging higher transaction fees. The empirical analysis of a dataset of trading in French and German stocks suggests that trades on Chi-X, a lowcost trading platform, carry significantly more private information than those executed in the Primary Markets. Consistent with our theory, we find a negative relationship between the competitiveness of Chi-X’s quotes and this excess adverse selection risk faced by liquidity providers in the cross-section. Our results have some implications for the design of best-execution policies.
Schlagwörter: 
adverse selection
Inter-market competition
MiFID
Transaction fees
JEL: 
G10
G14
G24
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
682.47 kB





Publikationen in EconStor sind urheberrechtlich geschützt.