The Effect of Fragmentation in Trading on Market Quality in the UK Equity Market
研究了2008-2011年间英国FTSE股票交易碎片化对市场质量的影响，发现可见订单簿碎片化降低波动性，而暗交易虽也降低波动性但增加其变异性。
Summary We investigate the effects of fragmentation in equity markets on the quality of trading outcomes in a panel of FTSE stocks over the period 2008–2011. This period coincided with a great deal of turbulence in the UK equity markets, which had multiple causes that need to be controlled for. To achieve this, we use the common correlated effects estimator for large heterogeneous panels. We extend this estimator to quantile regression to analyse the whole conditional distribution of market quality. We find that both fragmentation in visible order books and dark trading that is offered outside the visible order book lower volatility. But dark trading increases the variability of volatility, while visible fragmentation has the opposite effect, in particular at the upper quantiles of the conditional distribution. The transition from a monopolistic to a fragmented market is non‐monotonic with respect to the degree of fragmentation. Copyright © 2015 John Wiley & Sons, Ltd.