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Competition Between Equity Markets: A Review of the Consolidation Versus Fragmentation Debate
(2016-06-21)
Technological advances and regulatory initiatives have led to the emergence of a competitive, but fragmented, equity trading landscape in several markets around the world. While these changes have coincided with benefits ...
Coordination of Circuit Breakers? Volume Migration and Volatility Spillover in Fragmented Markets
(2017-01-27)
We study circuit breakers in a fragmented, multi-market environment and investigate whether a coordination of circuit breakers is necessary to ensure their effectiveness. In doing so, we analyze 2,337 volatility interruptions ...
Managing Excess Volatility: Design and Effectiveness of Circuit Breakers
(2017-02-02)
We investigate different designs of circuit breakers implemented on European trading venues and examine their effectiveness to manage excess volatility and to preserve liquidity. Specifically, we empirically analyze ...
Lighting up the Dark: Liquidity in the German Corporate Bond Market
(2018-09-17)
"We study the impact of transparency on liquidity in OTC markets. We do so by providing an analysis of liquidity in a corporate bond market without trade transparency (Germany), and comparing our findings to a market with ...
Central Bank-Driven Mispricing
(2018-10-01)
We show that bond purchases undertaken in the context of quantitative easing efforts by the European Central Bank created a large mispricing between the market for German and Italian government bonds and their respective ...