FOUCAULT, THIERRY; MENKVELD, ALBERT J. - In: Journal of Finance 63 (2008) 1, pp. 119-158
We study the rivalry between Euronext and the London Stock Exchange (LSE) in the Dutch stock market to test hypotheses about the effect of market fragmentation. As predicted by our theory, the consolidated limit order book is deeper after entry of the LSE. Moreover, cross-sectionally, we find...