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Spoilt for choice: Determinants of market shares in fragmented equity markets

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  • Gomber, Peter
  • Sagade, Satchit
  • Theissen, Erik
  • Weber, Moritz Christian
  • Westheide, Christian

Abstract

We analyze the determinants of the trading volumes of different trading mechanisms in equity markets using an extensive panel data set from European markets comprising public limit order books, call auctions, dark pools, internalization platforms, and the over-the-counter market. Market shares, resulting from investors’ order routing decisions, are driven by the degree of immediacy and anonymity offered by the venues, their ability to offer off-tick executions, as well as the informational environment and conditions in the market. Findings for small and large trades are distinctly different, likely because traders jointly choose trade size and venue type.

Suggested Citation

  • Gomber, Peter & Sagade, Satchit & Theissen, Erik & Weber, Moritz Christian & Westheide, Christian, 2023. "Spoilt for choice: Determinants of market shares in fragmented equity markets," Journal of Financial Markets, Elsevier, vol. 64(C).
    • Handle: RePEc:eee:finmar:v:64:y:2023:i:c:s1386418123000149
    DOI: 10.1016/j.finmar.2023.100816
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    More about this item

    Keywords

    Dark trading; Fragmentation; Anonymity; Immediacy;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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