References
- Aitken, M., Marco, E. D., & Harris, F. (2011). Price discovery efficiency and information impounding on NYSE Euronext Paris. Available at: https://www.researchgate.net/profile/Frederick_Harris/publication/281844527_Price_DiscoveryEuronext_080611/data/55faebd608ae07629e07b5ba/Price-DiscoveryEuronext-080611.pdf
- Aitken, M. J., Harris, F., & Sensenbrenner, F. (2010). Price Discovery in Liquid UK Shares Pre and Post MiFID. Available at: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2250459, https://doi.org/10.2139/ssrn.2250459
- Baillie, R. T., Booth, G., Tse, Y., & Zabotina, T. (2002). Price discovery and common factor models. Journal of Financial Markets, 5(3), 309–321. https://doi.org/10.1016/S1386-4181(02)00027-7
- Boneva, L., Linton, O., & Vogt, M. (2016). The effect of fragmentation in trading on market quality in the UK equity market. Journal of Applied Econometrics, 31(1), 192–213. https://doi.org/10.1002/jae.2438
- Booth, G. G., So, R. W., & Tse, Y. (1999). Price discovery in the German equity index derivatives markets. Journal of Futures Markets, 19(6), 619–643. https://doi.org/10.1002/(SICI)1096-9934(199909)19:6<619::AID-FUT1>3.0.CO;2-M doi: 10.1002/(SICI)1096-9934(199909)19:6<619::AID-FUT1>3.0.CO;2-M
- Chlistalla, M., & Lutat, M. (2011). Competition in securities markets: The impact on liquidity. Financial Markets and Portfolio Management, 25(2), 149–172. https://doi.org/10.1007/s11408-011-0155-0
- Chu, Q. C., Hsieh, W. G., & Tse, Y. (1999). Price discovery on the S&P 500 index markets: An analysis of spot index, index futures, and SPDRs. International Review of Financial Analysis, 8(1), 21–34. https://doi.org/10.1016/S1057-5219(99)00003-4
- Degryse, H., de Jong, F., & van Kervel, F. (2015). The impact of dark trading and visible fragmentation on market quality. Review of Finance, 19(4), 1587–1622. https://doi.org/10.1093/rof/rfu027
- Engle, R. F., & Granger, C. W. J. (1987). Co-integration and Error Correction: Representation, Estimation, and Testing. Econometrica, 55(2), 251–276. https://doi.org/10.2307/1913236
- Fioravanti, S., & Gentile, M. (2011). The impact of market fragmentation on European stock exchanges. Available at: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1997419
- Foucault, T., & Menkveld, A. J. (2008). Competition for order flow and smart order routing systems. The Journal of Finance, 63(1), 119–158. https://doi.org/10.1111/j.1540-6261.2008.01312.x
- Gajewski, J. F., & Gresse, C. (2007). Centralised order books versus hybrid order books: A paired comparison of trading costs on NSC (Euronext Paris) and SETS (London Stock Exchange). Journal of Banking & Finance, 31(9), 2906–2924. https://doi.org/10.1016/j.jbankfin.2007.04.015
- Gomber, P., Gsell, M., & Lutat, M. (2011). Competition among electronic markets and market quality. In Proceedings of the 2011 Eastern Finance Association (EFA) Annual Meetings, Savannah, GA, USA.
- Gonzalo, J., & Granger, C. (1995). Estimation of common long-memory components in cointegrated systems. Journal of Business & Economic Statistics, 13(1), 27–35.
- Gresse, C. (2017). Effects of lit and dark market fragmentation on liquidity. Journal of Financial Markets, 35, 1–20. https://doi.org/10.1016/j.finmar.2017.05.003
- Gresse, C. (2011). Effects of the competition between multiple trading platforms on market liquidity: evidence from the MiFID experience. Available at: http://www.cencor.com/Media/Docs/Effects_of_competition_between_multiple_trading_platforms_on_mkt_liquidity_-Greese.pdf
- Gresse, C. (2014). Market fragmentation and market quality: The European experience. In G. Dufrénot, F., Jawadi, & W. Louhichi (Eds.), Market microstructure and nonlinear dynamics. Springer, Cham. https://doi.org/10.1007/978-3-319-05212-0_1
- Gresse, C. (2006). The effect of crossing-network trading on dealer market’s bid-ask spreads. European Financial Management, 12(2), 143–160. https://doi.org/10.1111/j.1354-7798.2006.00314.x
- Harris, F. H. deB., McInish, T. H., & Wood, R. A. (2002). Common factor components versus information shares: A reply. Journal of Financial Markets, 5(3), 341–348. https://doi.org/10.1016/S1386-4181(02)00030-7
- Harris, F. H. deB., McInish, T. H., & Wood, R.A. (2009). The need for a unified approach to price discovery: CFS and IS metrics before and after Reg NMS. SSRN Electronic Journal. Available at: http://www.ssrn.com/abstract=1107527
- Hasbrouck, J. (1995). One security, many markets: Determining the contributions to price discovery. The Journal of Finance, 50(4), 1175–1199. https://doi.org/10.1111/j.1540-6261.1995.tb04054.x
- Hausman, J. A. (1978). Specification tests in econometrics. Econometrica, 46(6), 1251–1271. https://doi.org/10.2307/1913827
- Hengelbrock, J., & Theissen, E. (2009). Fourteen at one blow: The market entry of Turquoise. Available at: https://ssrn.com/abstract=1743589, https://doi.org/10.2139/ssrn.1743589
- Hoffmann, P. (2016). Adverse selection, market access, and inter-market competition. Journal of Banking & Finance, 65, 108–119. https://doi.org/10.1016/j.jbankfin.2015.10.009
- Im, K. S., Pesaran, M. H., & Shin, Y. (2003). Testing for unit roots in heterogeneous panels. Journal of Econometrics, 115(1), 53–74. https://doi.org/10.1016/S0304-4076(03)00092-7
- de Jong, F. (2002). Measures of contributions to price discovery: A comparison. Journal of Financial Markets, 5(3), 323–327. https://doi.org/10.1016/S1386-4181(02)00028-9
- Kohler, A., & von Wyss, R. (2012). Fragmentation in European equity markets and market quality – evidence from the analysis of trade-throughs. Working Papers on Finance. Available at: https://ideas.repec.org/p/usg/sfwpfi/201210.html
- Lehmann, B. N. (2002). Some desiderata for the measurement of price discovery across markets. Journal of Financial Markets, 5(3), 259–276. https://doi.org/10.1016/S1386-4181(02)00025-3
- Pedroni, P. (2004). Panel cointegration: Asymptotic and finite sample properties of pooled time series tests with an application to the PPP hypothesis. Econometric Theory, 20(3), 597–625. https://doi.org/10.1017/S0266466604203073
- Pesaran, M. H., Shin, Y., & Smith, R. P. (1999). Pooled mean group estimation of dynamic heterogeneous panels. Journal of the American Statistical Association, 94(446), 621–634. https://doi.org/10.1080/01621459.1999.10474156
- Pesaran, M. H., & Smith, R. (1995). Estimating long-run relationships from dynamic heterogeneous panels. Journal of Econometrics, 68(1), 79–113. https://doi.org/10.1016/0304-4076(94)01644-F
- Phillips, P. C. B., & Moon, H. R. (2000). Nonstationary panel data analysis: An overview of some recent developments. Econometric Reviews, 19(3), 263–286. https://doi.org/10.1080/07474930008800473
- Putniņš, T. J. (2013). What do price discovery metrics really measure? Journal of Empirical Finance, 23, 68–83. https://doi.org/10.1016/j.jempfin.2013.05.004
- Riordan, R., Storkenmaier, A., & Wagener, M. (2010). Fragmentation, competition and market quality: A post-MiFID analysis. Available at: http://www.ssrn.com/abstract=1626711, https://doi.org/10.2139/ssrn.1626711
- Schacht, K., Cronin, C., Allen, J., & Preece, R. (2009). Market microstructure: The impact of fragmentation under the markets in financial instruments directive. CFA Institute Centre for Financial Market Integrity, 2009(13), 60. https://www.cfapubs.org/doi/pdf/10.2469/ccb.v2009.n13.1
- Spankowski, U. F. P., Wagener, M., & Burghof, H.-P. (2012). The role of traditional exchanges in fragmented markets. Available at: http://www.ssrn.com/abstract=1980951, https://doi.org/10.2139/ssrn.1980951
- Storkenmaier, A., Wagener, M., & Weinhardt, C. (2012). Public information in fragmented markets. Financial Markets and Portfolio Management, 26(2), 179–215. https://doi.org/10.1007/s11408-012-0185-2
- Westerlund, J. (2007). Testing for error correction in panel data. Oxford Bulletin of Economics and Statistics, 69(6), 709–748. https://doi.org/10.1111/j.1468-0084.2007.00477.x
- Yan, B., & Zivot, E. (2010). A structural analysis of price discovery measures. Journal of Financial Markets, 13(1), 1–19. https://doi.org/10.1016/j.finmar.2009.09.003
- Yang, D., & Zhang, Q. (2000). Drift independent volatility estimation based on high, low, open, and close prices. The Journal of Business, 73(3), 477–492. https://doi.org/10.1086/209650