Where Has All the Trading Gone? A Network Approach to European Stock Exchanges and Alternative Trading Venue

20 Pages Posted: 27 Sep 2011 Last revised: 9 Jan 2012

See all articles by Caterina Lucarelli

Caterina Lucarelli

Università Politecnica delle Marche

Philip Molyneux

University of Sharjah; University of Sharjah - College of Business Administration

Stefania Vitali

Università Politecnica delle Marche - Faculty of Economics; Department of Physics, Università di Palermo, italy; ETH Zurich

Date Written: September 26, 2011

Abstract

This paper investigates the network features of European trading venues by analyzing the behavior of simultaneously quoted stock. Equity trading venues include both regulated Stock Exchanges (SEs) and Alternative Trading Venues (ATVs) and these represent the nodes of our network. The connections among these nodes are determined by choices of investors to exploit various venues in which a stock may be traded. Using trading volume data of nearly 22,000 equities we use social network analysis to measure prestige and connectivity between the various trading venues between 2005 and 2009. We find that the evolution of ATVs (including multi-lateral trading venues BATS, Chi-X and Turquoise, as well as various Systematic Internalisers) eroded the relative prestige of the largest established European SEs (particularly London). Prestige concentration also declined after MIFID although smaller SEs did not appear to suffer any major losses (in prestige). The introduction of multi-trading venues does not appear to have adversely influenced connectivity in terms of reducing the number (or volume) of cross-listed relationships although the introduction of ATVs has had a big impact in increasing connectivity overall and decreasing trades concentration.

Suggested Citation

Lucarelli, Caterina and Molyneux, Philip and Molyneux, Philip and Vitali, Stefania, Where Has All the Trading Gone? A Network Approach to European Stock Exchanges and Alternative Trading Venue (September 26, 2011). Available at SSRN: https://ssrn.com/abstract=1934253 or http://dx.doi.org/10.2139/ssrn.1934253

Caterina Lucarelli (Contact Author)

Università Politecnica delle Marche ( email )

Piazzale Martelli 8
Ancona, 18039
Italy
0039.071.2207196 (Phone)
0039.071.2207253 (Fax)

Philip Molyneux

University of Sharjah ( email )

College of Business Administration
University of Sharjah
Sharjah, Sharjah
United Arab Emirates

HOME PAGE: http://www.sharjah.ac.ae/en/academics/Colleges/business/Pages/ppl_detail.aspx?mcid=1

University of Sharjah - College of Business Administration ( email )

University City Road
Sharjah, 27272
United Arab Emirates

Stefania Vitali

Università Politecnica delle Marche - Faculty of Economics ( email )

Piazzale Martelli, 8
60121 Ancona
Italy

Department of Physics, Università di Palermo, italy ( email )

Viale delle Scienze, Ed. 17
Palermo, PA 90128
Italy

ETH Zurich ( email )

Weinbergstrasse 56/58
8092 Zurich, CH-1015
Switzerland

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