Skip to main content
SpringerLink
Log in

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

  • Conference paper
Value Creation in E-Business Management (AMCIS 2009)

Part of the book series: Lecture Notes in Business Information Processing ((LNBIP,volume 36))

Included in the following conference series:

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.

This is a preview of subscription content, log in via an institution to check access.

Access this chapter

Log in via an institution
Chapter
USD 29.95
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
eBook
USD 39.99
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
Softcover Book
USD 54.99
Price excludes VAT (USA)
  • Compact, lightweight edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

Purchases are for personal use only

Institutional subscriptions

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

References

  1. Barclay, M.J., Hendershott, T., McCormick, T.D.: Competition among trading venues: Information and trading on electronic communications networks. Journal of Finance 58, 2637–2666 (2003)

    Article  Google Scholar 

  2. Battalio, R., Hatch, B., Jennings, R.H.: Towards a National Market System for U.S. exchange-listed equity options. Journal of Finance 54, 933–962 (2004)

    Article  Google Scholar 

  3. Bessembinder, H.: Quote-based competition and trade execution costs in NYSE-listed stocks. Journal of Financial Economics 70, 385–422 (2003)

    Article  Google Scholar 

  4. Biais, B., Bisière, C., Spatt, C.: Imperfect competition in financial markets, Working paper, Toulouse University (2004)

    Google Scholar 

  5. Boehmer, B., Boehmer, E.: Trading your neighbor’s ETFs: Competition or fragmentation? Working paper, NYSE and University of Georgia (June 11, 2002)

    Google Scholar 

  6. Chi-X, Chi-X Exchange Guide (2007), http://www.chi-x.com/docs/Chi-X%20Exchange%20Guide%20v1.2.pdf

  7. DeFontnouvelle, P., Fishe, R.P.H., Harris, J.H.: The behavior of bid-ask spreads and volume in options markets during the competition for listings in 1999. Journal of Finance 58, 2437–2464 (2003)

    Article  Google Scholar 

  8. Fairless, T.: Alternative trading venues post slower growth. e-Financial News (January 8, 2009)

    Google Scholar 

  9. Fink, J.D., Fink, K., Weston, J.P.: Competition on the Nasdaq and the growth of electronic communication networks. Journal of Banking & Finance 30, 2537–2559 (2004)

    Article  Google Scholar 

  10. Foucault, T., Menkveld, A.J.: Competition for Order Flow and Smart Order Routing Systems. Journal of Finance 63, 119–158 (2008)

    Article  Google Scholar 

  11. Gomber, P., Schweickert, U., Theissen, E.: Zooming in on Liquidity, EFA 2004 Maastricht Meetings Paper No. 1805 (2004)

    Google Scholar 

  12. Hallam, N., Idelson, N.: Breaking the Barriers - A Technological Study of the Obstacles to Pan-European Best Execution in Equities. Tech. rep., Traderserve Limited (2003)

    Google Scholar 

  13. Hamilton, J.L.: Marketplace fragmentation, competition, and the efficiency of the stock exchange. Journal of Finance 34, 171–187 (1979)

    Article  Google Scholar 

  14. Hendershott, T., Jones, C.M.: Island goes dark: Transparency, fragmentation, and regulation. Review of Financial Studies 18, 743–793 (2005)

    Article  Google Scholar 

  15. Irvine, P.J., Benston, G.J., Kandel, E.: Liquidity Beyond the Inside Spread: Measuring and Using Information in the Limit Order Book. Working Paper, Emory University and He-brew University (July 2000)

    Google Scholar 

  16. Jeffs, L., Fairless, T.: Happy First Birthday Mifid! in: e-Financial News (November 3, 2008)

    Google Scholar 

  17. Petersen, M.A.: Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches. Review of Financial Studies 2009 22(1), 435–480 (2008)

    Article  Google Scholar 

  18. Sharpe, W., Alexander, G.: Investments, 4th edn. Prentice Hall, Englewood Cliffs (1990)

    Google Scholar 

Download references

Author information

Authors and Affiliations

  1. E-Finance Lab, Goethe-University Frankfurt, Germany

    Michael Chlistalla

  2. Chair of e-Finance, Goethe-University Frankfurt, Germany

    Marco Lutat

Authors
  1. Michael Chlistalla
    View author publications

    You can also search for this author in PubMed Google Scholar

  2. Marco Lutat
    View author publications

    You can also search for this author in PubMed Google Scholar

Editor information

Editors and Affiliations

  1. College of Business, Illinois State University, IL 61790, Normal, USA

    Matthew L. Nelson

  2. College of Business, University of Illinois, IL, 61820, Champaign, USA

    Michael J. Shaw

  3. College of Business and Public Administration, Drake University, IA 50311, Des Moines, USA

    Troy J. Strader

Rights and permissions

Reprints and permissions

Copyright information

© 2009 Springer-Verlag Berlin Heidelberg

About this paper

Cite this paper

Chlistalla, M., Lutat, M. (2009). The Impact of New Execution Venues on European Equity Markets’ Liquidity – The Case of Chi-X. In: Nelson, M.L., Shaw, M.J., Strader, T.J. (eds) Value Creation in E-Business Management. AMCIS 2009. Lecture Notes in Business Information Processing, vol 36. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-03132-8_18

Download citation

  • DOI: https://doi.org/10.1007/978-3-642-03132-8_18

  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-642-03131-1

  • Online ISBN: 978-3-642-03132-8

  • eBook Packages: Computer ScienceComputer Science (R0)

Publish with us

Policies and ethics

Search

Navigation