Does smile help detect the UK's price leadership change after MiFID?

Buckle, Mike; Chen, Jing; Guo, Qian; Li, Xiaoxi

doi:10.1016/j.iref.2022.11.033

Journal article 572 views 95 downloads

Does smile help detect the UK's price leadership change after MiFID?

Mike Buckle

, Jing Chen, Qian Guo, Xiaoxi Li

International Review of Economics and Finance, Volume: 84, Pages: 756 - 769

Swansea University Author: Mike Buckle

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DOI (Published version): 10.1016/j.iref.2022.11.033

Abstract

We investigate intraday realised volatility, trading volume, and information transmission following a series of changes to the Markets in Financial Instruments Directive (MiFID) in the UK. We find that multilateral trading facilities attract order flows from the London Stock Exchange (LSE) and hence...

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Published in:	International Review of Economics and Finance
ISSN:	1059-0560
Published:	Elsevier BV 2023
Online Access:	Check full text
URI:	https://cronfa.swan.ac.uk/Record/cronfa62084

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spelling	2022-12-29T12:18:27.8993836 v2 62084 2022-11-29 Does smile help detect the UK's price leadership change after MiFID? 756422b319676d1b53856d85363a4ae3 0000-0002-5767-2217 Mike Buckle Mike Buckle true false 2022-11-29 CBAE We investigate intraday realised volatility, trading volume, and information transmission following a series of changes to the Markets in Financial Instruments Directive (MiFID) in the UK. We find that multilateral trading facilities attract order flows from the London Stock Exchange (LSE) and hence introduce new dynamics to market provisions, such as volatility and information transmission. In addition, the structure of the order books and market depth changed after the introduction of MiFID in the UK. However, our novel study conveying smile patterns of volatility and volume suggests that the LSE continues to lead the rest of the multilateral venues. This shows that although MiFID has led to market segmentation, there is still clear price discovery among multilateral trading facilities. Journal Article International Review of Economics and Finance 84 756 769 Elsevier BV 1059-0560 MiFID; Multilateral trading facility; Volatility smile; Weighted price contribution 1 3 2023 2023-03-01 10.1016/j.iref.2022.11.033 COLLEGE NANME Management School COLLEGE CODE CBAE Swansea University 2022-12-29T12:18:27.8993836 2022-11-29T10:49:46.0271871 Faculty of Humanities and Social Sciences School of Management - Accounting and Finance Mike Buckle 0000-0002-5767-2217 1 Jing Chen 2 Qian Guo 3 Xiaoxi Li 4 62084__26139__9083851fc19c4ad088429765c2b0c41f.pdf 62084.pdf 2022-12-29T12:15:57.6651778 Output 853389 application/pdf Version of Record true © 2022 The Authors. This is an open access article under the CC BY license true eng http://creativecommons.org/licenses/by/4.0/ 144
title	Does smile help detect the UK's price leadership change after MiFID?
spellingShingle	Does smile help detect the UK's price leadership change after MiFID? Mike Buckle
title_short	Does smile help detect the UK's price leadership change after MiFID?
title_full	Does smile help detect the UK's price leadership change after MiFID?
title_fullStr	Does smile help detect the UK's price leadership change after MiFID?
title_full_unstemmed	Does smile help detect the UK's price leadership change after MiFID?
title_sort	Does smile help detect the UK's price leadership change after MiFID?
author_id_str_mv	756422b319676d1b53856d85363a4ae3
author_id_fullname_str_mv	756422b319676d1b53856d85363a4ae3_***_Mike Buckle
author	Mike Buckle
author2	Mike Buckle Jing Chen Qian Guo Xiaoxi Li
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publisher	Elsevier BV
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department_str	School of Management - Accounting and Finance{{{_:::_}}}Faculty of Humanities and Social Sciences{{{_:::_}}}School of Management - Accounting and Finance
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description	We investigate intraday realised volatility, trading volume, and information transmission following a series of changes to the Markets in Financial Instruments Directive (MiFID) in the UK. We find that multilateral trading facilities attract order flows from the London Stock Exchange (LSE) and hence introduce new dynamics to market provisions, such as volatility and information transmission. In addition, the structure of the order books and market depth changed after the introduction of MiFID in the UK. However, our novel study conveying smile patterns of volatility and volume suggests that the LSE continues to lead the rest of the multilateral venues. This shows that although MiFID has led to market segmentation, there is still clear price discovery among multilateral trading facilities.
published_date	2023-03-01T20:18:00Z
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Does smile help detect the UK's price leadership change after MiFID?

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