FMII Manuscript_Multilateral Trading
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FMII Manuscript_Multilateral Trading
The Impact of Multilateral Trading Facilities on Price DiscoveryMike BuckleUniversity of Liverpool.Chatham Street. Liverpool L69 7ZH. UKJing Chen (cor FMII Manuscript_Multilateral Tradingrresponding author)Cardiff University,Senghennydd Road, Cardiff CF24 4AG, UKEmail: chenj60@cardiff.ac.uk Tel: +44 (0) 29 2087 5523Qian GuoBirkbeck College, University of London.London WC1E 7HU, UKXiaoxi LiUniversity of Swansea,Singleton Park, Swansea SA2 8PP, UKThe Impact of Multilateral Trading Fac FMII Manuscript_Multilateral Tradingilities on Price DiscoveryTable of Contents1Introduction4Table 1. Market Share of Different Trading Systems in FTSE 100 StocksPanel (a): Market ShareFMII Manuscript_Multilateral Trading
of FTSE 100 Constituents Traded through Different Facilities 7Panel (b): Order Book of FTSE I (X) Traded Through LIT7Panel (c): Size and Volume of TraThe Impact of Multilateral Trading Facilities on Price DiscoveryMike BuckleUniversity of Liverpool.Chatham Street. Liverpool L69 7ZH. UKJing Chen (cor FMII Manuscript_Multilateral Tradinged Markets101.2Our Proposed Study112Literature Review132.1 Is Market Fragmentation Beneficial for the Improvement of Market Quality ?132.2What Is the Impact of MiFID and the Contribution of MTFs to Price Discovery? 153Testable Framework203.1The Gonzalo and Granger (1995) Permanent-Transitory Model20 FMII Manuscript_Multilateral Trading3.2Huang's (2002) Weighted Price Contribution Method214Data245Empirical Results265.1Common Factor Weight Results26Table 2. Descriptive Statistics andFMII Manuscript_Multilateral Trading
ADF Results of Ten Companies' Shares27Table 3: Johansen and Jusellus (1990) Trace Test for Co-lntegrating Rank29of the Long-run n MatrixThe Impact of Multilateral Trading Facilities on Price DiscoveryMike BuckleUniversity of Liverpool.Chatham Street. Liverpool L69 7ZH. UKJing Chen (corThe Impact of Multilateral Trading Facilities on Price DiscoveryMike BuckleUniversity of Liverpool.Chatham Street. Liverpool L69 7ZH. UKJing Chen (corGọi ngay
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