The MiFID II Tick Size Regime. Impact on European Equities Trading

Inhaltsverzeichnis (Table of Contents)

• 1 Introduction
• 2 Background Information
  • 2.1 Tick Sizes
  • 2.2 Trading Process
  • 2.3 Price-Time Priority
  • 2.4 Measures of Liquidity
• 3 Literature Review
  • 3.1 Impact of Tick Sizes
    • 3.1.1 Changes in Tick Size Rules
    • 3.1.2 Price Movements
    • 3.1.3 Fundamental Impact
• 4 Changes Brought About By MiFID II
  • 4.1 Tick Size Regime as defined in Article 49
  • 4.2 Changes on the German Equity Market
  • 4.3 Implication for the European Equity Market
• 5 Empirical Design
  • 5.1 Sample & Data
  • 5.2 Methodology
  • 5.3 Analyzed Parameters
• 6 Empirical Results
  • 6.1 Impact on Liquidity
    • 6.1.1 Bid-Ask Spread
    • 6.1.2 Order Book Depth
    • 6.1.3 Turnover
    • 6.1.4 Price Volatility
  • 6.2 Impact on Market Shares
    • 6.2.1 Market Share Distribution
    • 6.2.2 Influence of the Regime
• 7 Discussion

Zielsetzung und Themenschwerpunkte (Objectives and Key Themes)

This bachelor thesis aims to analyze the impact of the MiFID II tick size regime on European equities trading. The study investigates how the new regulations have affected liquidity, price volatility, and market shares in the European equity market.

• Impact of MiFID II on liquidity measures like bid-ask spread, order book depth, and turnover.
• Influence of the tick size regime on price volatility.
• Analysis of changes in market share distribution among trading venues.
• Assessment of the influence of the MiFID II tick size regime on market shares.
• Discussion of the overall impact of the tick size regime on European equities trading.

Zusammenfassung der Kapitel (Chapter Summaries)

Chapter 1 provides an introduction to the topic of MiFID II and its tick size regime, outlining the scope and objectives of the thesis. Chapter 2 presents background information on tick sizes, trading processes, price-time priority, and measures of liquidity, laying the groundwork for the subsequent analysis. Chapter 3 reviews relevant literature on the impact of tick sizes, encompassing studies on changes in tick size rules, price movements, and fundamental impact. Chapter 4 delves into the specific changes brought about by MiFID II, examining the tick size regime as defined in Article 49, its implications for the German and European equity markets.

Chapter 5 outlines the empirical design of the study, including the sample and data used, the methodology applied, and the analyzed parameters. Chapter 6 presents the empirical results, analyzing the impact of the tick size regime on liquidity, price volatility, and market shares. Chapter 7 discusses the findings, drawing insights from the empirical results and exploring potential implications for the European equity market.

Schlüsselwörter (Keywords)

This research focuses on the MiFID II tick size regime, European equities trading, liquidity, price volatility, market shares, empirical analysis, and the impact of regulations on financial markets. The study examines the influence of the tick size regime on key liquidity measures, price dynamics, and the distribution of market shares among trading venues.