FRAGMENTATION AND MARKET QUALITY IN EUROPEAN STOCK MARKETS

This work addresses two questions related to the market fragmentation debate: (i) How does the competition impact on the incumbent market liquidity? And on consolidated liquidity? (ii) Does the competition adversely affect the price discovery? In which market does the price discovery process take place? To this end we study the launch of Chi-x, a Multilateral trading facility, in the Italian market and in the English market.