Can I read Does smile help detect the UK's price leadership change after MiFID? on EtoBox?

Does smile help detect the UK's price leadership change after MiFID? by Mike Buckle; Jing Chen; Qian Guo; Xiaoxi Li is a Economics, Econometrics and Finance article available to read on EtoBox.

What is Does smile help detect the UK's price leadership change after MiFID? about?

We investigate intraday realised volatility, trading volume, and information transmission following a series of changes to the Markets in Financial Instruments Directive (MiFID) in the UK. We find that multilateral trading facilities attract order flows from the London Stock Exchange (LSE) and hence introduce new dynamics to market provisions, such as volatility and information transmission. In addition, the structure of the order books and market depth changed after the introduction of MiFID in the UK. However, our novel study conveying smile patterns of volatility and volume suggests that the LSE continues to lead the rest of the multilateral venues. This shows that although MiFID has led to market segmentation, there is still clear price discovery among multilateral trading facilities.

Who reads Does smile help detect the UK's price leadership change after MiFID??

Author

Mike Buckle; Jing Chen; Qian Guo; Xiaoxi Li

Publisher

Elsevier BV

Published

2023

Language

EN

Field

Economics, Econometrics and Finance (Social Sciences)