Preprint
'Sniping' in Fragmented Markets
Abstract
In many jurisdictions, equity market regulation requires traders to honor the best quotes on all marketplaces, often forcing brokers to split client trades across multiple markets.Markets react strongly: we show that such split trades have double the price impact of single-market trades. The effect extends to retail orders and cannot be explained by order size. It is, however, concentrated among orders that are immediately followed by …
Authors
Malinova K; Park A
Publication date
January 1, 2020
DOI
10.2139/ssrn.3534367
Preprint server
SSRN Electronic Journal