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Fragmentation boursière, volatilité et investissements finaux

Author

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  • Cécile Bastidon

    (LEAD - Laboratoire d'Économie Appliquée au Développement - UTLN - Université de Toulon)

Abstract

Résumé Even before the beginning of the crisis, intraday volatility in stock markets rises sharply, as soon as the Reg NMS (" Regulation National Market System ", in the United States, in October 2006) and MIFID (" Markets in Financial Instruments Directive ", in the European Union, in November 2007) directives, promoting free competition in equity securities markets, get implemented. Simultaneously, there is a large increase in quotes volumes, related to the growing markets fragmentation and important rise in the share of high frequency transactions resulting from those regulatory shocks. However, trade volumes decrease. We present a theoretical model which is aimed at describing the effects of these financial reforms shocks on stock markets volatility, and the resulting macroeconomic consequences when funding liquidity (i. e. in primary markets) is reduced.

Suggested Citation

  • Cécile Bastidon, 2014. "Fragmentation boursière, volatilité et investissements finaux," Post-Print hal-01021302, HAL.
    • Handle: RePEc:hal:journl:hal-01021302
    Note: View the original document on HAL open archive server: https://hal.science/hal-01021302v2
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