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Price Discovery Efficiency and Permanent Information Impounding on Nyse Euronext Paris

2012; RELX Group (Netherlands); Linguagem: Inglês

10.2139/ssrn.2029338

1556-5068

Frederick H. deB. Harris, Michael Aitken, Elisa-Maree Di Marco,

Stock Market Forecasting Methods

Since European trading now traverses national boundaries, and MTFs are rampant, how have the stock price dynamics changed? Analysing the execution channels NYSE Euronext Paris, Chi-X and BATS in CAC40 stocks, we compare metrics of market efficiency pre/post-MiFID and provide insight into the price discovery implications of high frequency trading. Utilizing Hasbrouck’s Information Share and Gonzalo and Granger’s Common Factor Share in a unifying framework, we distinguish price discovery efficiency from permanent information impounding. Although the primary exchange NYSE Euronext Paris has lost only 10% of the information impounding to the MTFs, these alternative mechanism designs exhibit remarkably high price discovery efficiency.