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Qualità della negoziazione e tutela dell'investitore

Author

Listed:
  • Mario Anolli

    () (Università Cattolica di Milano)

  • Giovanni Petrella

    () (Università Cattolica di Milano)

Abstract

MiFID regulation aims at protecting investors and promoting competition across securities markets in the European Union. The measurement of trade execution quality is crucial to achieve such goals. Traders will direct order flow towards more efficient venues only if compare trade execution quality across markets based on methodologically sound execution quality metrics. We discuss the concept of best execution as ruled by MiFID and present two frameworks to estimate trade execution quality: price benchmark and econometric transaction cost estimation methods. No execution quality metric is preferable in every market condition and for every trader. We thus provide some clues to appropriately choose execution quality measures.

Suggested Citation

  • Mario Anolli & Giovanni Petrella, 2008. "Qualità della negoziazione e tutela dell'investitore," Rivista di Politica Economica, SIPI Spa, vol. 98(1), pages 295-353, January-F.
  • Handle: RePEc:rpo:ripoec:v:98:y:2008:i:1:p:295-353
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    File URL: http://www.rivistapoliticaeconomica.it/2008/gen-feb/Anolli.pdf
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    References listed on IDEAS

    as
    1. Glosten, Lawrence R. & Harris, Lawrence E., 1988. "Estimating the components of the bid/ask spread," Journal of Financial Economics, Elsevier, vol. 21(1), pages 123-142, May.
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    3. Pastor, Lubos & Stambaugh, Robert F., 2003. "Liquidity Risk and Expected Stock Returns," Journal of Political Economy, University of Chicago Press, vol. 111(3), pages 642-685, June.
    4. Choi, J. Y. & Salandro, Dan & Shastri, Kuldeep, 1988. "On the Estimation of Bid-Ask Spreads: Theory and Evidence," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 23(02), pages 219-230, June.
    5. Lee, Charles M C & Ready, Mark J, 1991. " Inferring Trade Direction from Intraday Data," Journal of Finance, American Finance Association, vol. 46(2), pages 733-746, June.
    6. Amihud, Yakov, 2002. "Illiquidity and stock returns: cross-section and time-series effects," Journal of Financial Markets, Elsevier, vol. 5(1), pages 31-56, January.
    7. Donald B. Keim & Ananth Madhavan, "undated". "The Cost of Institutional Equity Trades," Rodney L. White Center for Financial Research Working Papers 08-98, Wharton School Rodney L. White Center for Financial Research.
    8. Schultz, Paul, 2000. "Regulatory and Legal Pressures and the Costs of Nasdaq Trading," Review of Financial Studies, Society for Financial Studies, vol. 13(4), pages 917-957.
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    11. repec:fth:pennfi:68 is not listed on IDEAS
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    More about this item

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
    • G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage

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