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- W328562480 abstract "We use the staggered implementation of regulation NMS and an instrumental variables analysis to establish the causal impact of market fragmentation. Theoretically, more exchange competition should lead to reduced transaction costs, however it may also lead to negative network externalities which reduce market quality. We document evidence of both effects, however our results show that fragmentation has a differential impact on large and small stocks. For large stocks, the former effect dominates and market quality, as measured by bid-ask spreads and price efficiency, is generally better. For small stocks, we find that negative network externalities dominate and liquidity and price efficiency are worse. Moreover, we find that higher fragmentation is associated with more uncertainty in liquidity which leads to changes in trading behavior. Overall, our results help reconcile conflicting findings in the literature and shed new light on the forces relating market fragmentation, trading behavior, and asset prices." @default.
- W328562480 created "2016-06-24" @default.
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- W328562480 date "2015-01-01" @default.
- W328562480 modified "2023-09-26" @default.
- W328562480 title "The Causal Impact of Market Fragmentation on Liquidity" @default.
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- W328562480 doi "https://doi.org/10.2139/ssrn.2591715" @default.
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