Based on two samples of non-financial large caps from the FTSE 100 and the CAC 40 and a third sample of non-financial mid caps from the SBF 120, this study looks at four monthly periods to compare market liquidity before and after the entry into effect of MiFID. Over the last monthly period,...

This paper provides an overview of the knowledge available to date on market fragmentation and its consequences, with a specific focus on the European experience. Since the implementation of MiFID1 on 1 November 2007, market fragmentation has considerably increased in European stock markets...

This book chapter provides an overview of market fragmentation in Europe since the first implementation of the Markets in Financial Instruments Directive (MiFID) on 1 November 2007. It makes a brief literature review on the consequences of lit and dark fragmentation for liquidity. It presents an...

The unconventional monetary policies implemented in the wake of the subprime crisis and the recent increase in inflation volatility have revived the debate on medium to long-term resurgence of inflation. This paper presents the optimal strategic asset allocation of an investor seeking to hedge...

Inflation shocks are one of the pitfalls of developing economies and are usually difficult to hedge. This paper examines the optimal strategic asset allocation for a Brazilian investor seeking to hedge inflation risk at different horizons, ranging from one to 30 years. Using a...

The exceptional rise in government deficits following the subprime crisis, the recent commodity price spikes and the increase in inflation volatility have revived the debate on medium to long-term resurgence of inflation. Using a vector-autoregressive model, this paper investigates the...

The unconventional monetary policies implemented in the wake of the subprime crisis and the recent increase in inflation volatility have revived the debate on medium to long-term resurgence of inflation. This paper presents the optimal strategic asset allocation for investors seeking to hedge...