TY  - UNPD
A1  - Clapham, Benjamin
A1  - Gomber, Peter
A1  - Panz, Sven
T1  - Coordination of circuit breakers? Volume migration and volatility spillover in fragmented markets
T2  - SAFE working paper series ; No. 196
N2  - We study circuit breakers in a fragmented, multi-market environment and investigate whether a coordination of circuit breakers is necessary to ensure their effectiveness. In doing so, we analyze 2,337 volatility interruptions on Deutsche Boerse and research whether a volume migration and an accompanying volatility spillover to alternative venues that continue trading can be observed. Different to prevailing theoretical rationale, trading volume on alternative venues significantly decreases during circuit breakers on the main market and we do not find any evidence for volatility spillover. Moreover, we show that the market share of the main market increases sharply during a circuit breaker. Surprisingly, this is amplified with increasing levels of fragmentation. We identify high-frequency trading as a major reason for the vanishing trading activity on the alternative venues and give empirical evidence that a coordination of circuit breakers is not essential for their effectiveness as long as market participants shift to the dominant venue during market stress.
T3  - SAFE working paper - 196 
KW  - Circuit Breaker
KW  - Volatility Interruption
KW  - Market Fragmentation
KW  - High-Frequency Trading
KW  - Stock Market
KW  - Regulation
KW  - Liquidity
Y1  - 2018
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/45644
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-456440
UR  - https://ssrn.com/abstract=2906719
IS  - January 27, 2017
PB  - SAFE
CY  - Frankfurt am Main
ER  -