On January 3, 2018 MiFID II regulations came into effect. This paper compares properties of European stocks for 2017 and 2018. The introduced tick size regime impacted the microstructure in accordance with existing literature on tick size changes. Remarkably, the modification of the microstructure also impacted volatility and transacted volume . Furthermore, it is shown that closing auction volumes increased heavily since MiFID II , leading to higher absolute returns in the auctions. Before MiFID II, high closing auction returns reverted overnight, but after MiFID II this reversion disappeared, showing that closing prices became more efficient.
This paper examines effects of MiFID II on European stock markets. We study the effects of the new tick size regime , both intraday and in the closing auction. An increase (decrease) in tick size is associated with a decrease (increase) in intraday liquidity, but a more (less) stable market. In the closing auction an increase in tick size has a positive effect on liquidity. Moreover, we report a positive relationship between tick size and transacted volume , in particular in the closing auction. Finally, closing auction volumes increased heavily since MiFID II and price formation in closing auctions became more efficient.
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On January 3, 2018 MiFID II regulations came into effect. This paper compares properties of European stocks for 2017 and 2018. The introduced
This paper examines effects of MiFID II on European stock markets. We study the effects of the new
R
impacted the microstructure in accordance with existing literature on tick size changes. Remarkably, the modification of the microstructure also impacted volatility
, both intraday and in the closing auction. An increase (decrease) in tick size is associated with a decrease (increase) in intraday liquidity, but a more (less) stable market. In the closing auction an increase in tick size has a positive effect on liquidity. Moreover, we report a positive relationship between tick size
R
. Furthermore, it is shown that
, in particular in the closing auction. Finally,
R
, leading to higher absolute returns in the auctions. Before MiFID II, high closing auction returns reverted overnight, but after MiFID II this reversion disappeared, showing that closing prices
and price formation in closing auctions