Determinants of the Trading Fragmentation

In November 2007 the elimination of the concentration of trading on the Regulated Markets has generatedthe phenomenon of fragmentation of trades across multiple venues. The objective of the analysis is double. The first scope is to search empirical results circa the fragmentation impact on the liquidity of the transaction with Difference in Difference estimator (or Double Difference). This technique estimates the effect of treatment (MiFID) by comparing the changes in outcomes over time between a subgroup of shares of the FTSE 100 (highly index fragmented) and FTSE MIB (the control group). The second objective is the identification of the variables that have influenced the fragmentation of trading across multiple trading venues. The empirical analysis is estimated through a fixed effect regression. For a better result interpretation, the diagnostic test of Hausmanis performed as well. The results of both analyses show that fragmentation did not have negative effects on the market quality of European stock markets.