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Does Smile help detect the UK’s price leadership change after MiFID?

Chen, Jing ORCID:, Guo, Qian, Buckle, Mike and Li, Xiaoxi 2023. Does Smile help detect the UK’s price leadership change after MiFID? International Review of Economics and Finance 84 , pp. 765-769. 10.1016/j.iref.2022.11.033

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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.

Item Type: Article
Date Type: Publication
Status: Published
Schools: Mathematics
Publisher: Elsevier
ISSN: 1059-0560
Date of First Compliant Deposit: 1 December 2022
Date of Acceptance: 25 November 2022
Last Modified: 20 Jan 2023 13:00

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