Transparency and Market Quality

Based on a sample of companies listed on Euronext, this empirical study uses several indicators (return volatility, return autocorrelation, FITC, quoted spread, turnover rate, number of transactions and order execution quality) to measure the impact of MiFID on market quality. The results show an improvement of market quality for most liquid stocks and a better order execution quality. Evidently, the desire expressed by the EC to revise the MiFID in 2011 supports our mitigated results in some aspects. It also supports the reservations we formulated on the impact of MiFID on financial markets in terms of quality, transparency and competition across the EU.
Keywords: MIFID, Euronext, Transparency, Market Quality, Trading Volume, Best Execution.
JEL Classification: G14, G18, G01