Securing passive liquidity: The impact of Europe’s first asymmetric speed bump on market liquidity
研究了欧洲首个非对称减速带（Eurex在2019年对法国股权期权引入的订单延迟）对市场流动性的影响，发现其降低了价差、增加了市场深度，并对竞争对手Euronext产生了正向溢出效应。
This study evaluates the impact of Europe’s first asymmetric speed bump, an order delay introduced by Eurex in 2019 for French equity options, as an innovative response to high-frequency trading externalities. Using a matched transaction-level database and a difference-in-difference strategy, we analyze liquidity changes on Eurex and its competitor Euronext. Results show significant improvements in Eurex liquidity, with decreased spreads and increased market depth. Notably, positive spillover effects were observed on Euronext for cross-listed options, with decreased spreads and an increase in aggressive HFT presence. These findings support the effectiveness of asymmetric speed bumps in mitigating latency arbitrage and enhancing market liquidity across competing platforms. • Europe’s first asymmetric speed bump improved spreads and market depth. • Speed bumps improved liquidity on both the implementing exchange and its competitor. • First empirical validation of theoretical models on asymmetric delays in options markets. • Speed bump effects persisted long-term, suggesting long-term market quality improvements. • Results provide insights for regulators and exchanges considering speed bump implementations.