Is Market Fragmentation Harming Market Quality

摘要: Equity markets world-wide have seen a proliferation of trading venues and the consequent fragmentation order flow. In this paper, we examine how is affecting quality in U.S. markets. We propose using newly-available TRF (trade reporting facilities) volumes to proxy for levels individual stocks, use matched sample compare execution efficiency stocks with more less fragmented trading. find that market generally reduces transactions costs increases speeds. Fragmentation does increase short-term volatility, but prices are efficient they closer being random walk. Our results not appear harm important implications regulatory policy.