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In 2007, the European Markets in Financial Instruments Directive ended the national concentration rule. As a result, market fragmentation has accelerated across multiple trading venues. Spatial fragmentation might create opportunities and incentives for High Frequency arbitrageurs to fill the void left by the lack of Reg NMS type order routing requirements in Europe, without neglecting market integrity. This paper examines intra-day volatility and price efficiency through the metric of the normalized volatility ratio for the years 2006, 2012 and 2013 for Euronext Paris, BATS and Chi-X Europe. Our findings show that price determination remains inefficient at market opening due to the complexity of price discovery activity following a period of non-trading and heavy information releases. However, we demonstrate that an active participation of high-frequency traders significantly improves market efficiency at opening session., SCOPUS: ar.j, info:eu-repo/semantics/published

As far as the process of market fragmentation accelerates, it is of great importance to figure out where price discovery occurs. This article examines whether fragmentation and competition resulting from Multilateral Trading Facilities (MTFs) impact price discovery after the implementation of the Market in Financial Instruments Directive. We measure Information Shares to study relative price discovery for three European trading venues - the Euronext, BATS, and Chi-X Europe, using the intra-day, best one-second spread midpoints. The results suggest that MTFs contribute more to impounding fundamental information, implying a shift in price dominance from a traditional regulated market to MTFs. The intraday price contributions of MTFs are higher on average than those of the Euronext Paris for our period of study., info:eu-repo/semantics/nonPublished

In 2007, the European Markets in Financial Instruments Directive ended the national concentration rule. As a result, market fragmentation has accelerated across multiple trading venues. This paper examines intra-day volatility and price efficiency through the metric of the normalized volatility ratio for the years 2006, 2012 and 2013 for Euronext Paris, BATS and Chi-X Europe. Our findings show that price determination remains inefficient at market openings due to the complexity of price discovery activity following a period of non-trading and heavy information releases. However, we demonstrate that an active participation of high-frequency traders significantly improves market efficiency at opening session., info:eu-repo/semantics/nonPublished

Our study aims to examine whether the market fragmentation and competition with the introduction of Multilateral Trading Facilities (MTFs) impact the price discovery dynamics after the implementation of MiFID. To do this, we measure the Information Shares (IS) to study relative price discovery for three major trading venues - NYSE Euronext Paris, BATS and Chi-X, using the intra-day best one-second spread midpoints. The results suggest that the Multilateral Trading Facilities (MTFs) contribute more to impounding fundamental information, implying a shift in price dominance from traditional regulated NYSE Euronext Paris to Multilateral Trading Facilities (MTFs), such as BATS and Chi-X. The intra-day price contributions of MTFs are higher on average than those of NYSE Euronext Paris for our period of study., info:eu-repo/semantics/nonPublished