The Impact of New Execution Venues on European Equity Markets’ Liquidity - The Case of Chi-X

Fifteenth Americas Conference on Information Systems (AMCIS), San Francisco, California, USA, 2009

Posted: 13 Dec 2009

See all articles by Michael Chlistalla

Michael Chlistalla

Goethe University Frankfurt Faculty of Economics and Business Administration

Marco Lutat

Goethe University Frankfurt Faculty of Economics and Business Administration

Date Written: September 15, 2009

Abstract

With the Markets in Financial Instruments Directive in effect since November 2007, new trading venues have emerged in European equities trading, among them Chi-X. This paper analyzes the impact of this new market entrant on the home market as well as on consolidated liquidity of French blue chip equities, newly tradable on Chi-X. Our findings suggest that owing to this new competition the home market’s liquidity has enhanced. This is apparently due to the battle for order flow which results in narrower spreads and increased market depth. These results imply that overall liquidity in a virtually consolidated order book is in the French case higher than without the new competitor.

Keywords: Electronic Market, Trading, Liquidity, Fragmentation, Exchanges

JEL Classification: G14, G15, G18

Suggested Citation

Chlistalla, Michael and Lutat, Marco, The Impact of New Execution Venues on European Equity Markets’ Liquidity - The Case of Chi-X (September 15, 2009). Fifteenth Americas Conference on Information Systems (AMCIS), San Francisco, California, USA, 2009, Available at SSRN: https://ssrn.com/abstract=1473701

Michael Chlistalla (Contact Author)

Goethe University Frankfurt Faculty of Economics and Business Administration ( email )

Grueneburgplatz 1
Frankfurt am Main, 60323
Germany

HOME PAGE: http://www.efinancelab.de/no_cache/team/?user_wiwipubs_pi2[showUid]=686

Marco Lutat

Goethe University Frankfurt Faculty of Economics and Business Administration ( email )

Grueneburgplatz 1
Frankfurt am Main, 60323
Germany

HOME PAGE: http://www.efinancelab.de/no_cache/team/?user_wiwipubs_pi2[showUid]=548

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