Do Multilateral Trading Facilities Contribute to Market Quality?
Do Multilateral Trading Facilities Contribute to Market Quality?
复制标题
多边交易设施有助于市场质量吗？
DOI：
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发表时间：
2011
期刊：
影响因子：
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通讯作者：
M. Wagener
中科院分区：
文献类型：
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作者：
Ryan Riordan;Andreas Storkenmaier;M. Wagener
金融工具市场指令（MiFID）的引入结束了传统交易所的准垄断地位，并使替代平台，即所谓的多边交易设施（MTF）能够竞争订单流。欧洲监管既不强制正式的联系，也不强制统一的市场记录。这就提出了在日益分散的贸易环境中多边贸易基金对市场质量的贡献问题。我们发现，Chi-X，MTF，对价格发现过程的贡献最大。Chi-X在流动性供应方面具有竞争力，并公布了最严格的报价点差。我们的研究结果表明，MTFs有助于积极的市场质量和投资者受益于竞争。
The introduction of the Markets in Financial Instruments Directive (MiFID) ended the quasi-monopoly of traditional exchanges and enabled alternative platforms, so-called multilateral trading facilities (MTF), to compete for order flow. European regulation imposes neither a formal linkage nor a consolidated market record. This raises questions about the contribution to market quality of MTFs in an increasingly fragmented trading environment. We find that Chi-X, an MTF, contributes most to the price discovery process. Chi-X is competitive in liquidity supply and posts the tightest quoted spreads. Our results suggest that MTFs contribute positively to market quality and that investors benefit from competition.