This dissertation presents three studies on financial market microstructure. The first investigates the impact of the Markets in Financial Instruments Directive II (MiFID II) on European equity markets. The second evaluates the revised WM/Refinitiv (WM/R) 4 pm FX benchmark methodology, introduced in 2015 and debated for further revision. The third examines speed competition in financial markets, focusing on options trading and Eurex’s Passive Liquidity Protection (PLP), aimed at curbing high-frequency trading effects. These studies offer insights into how regulations and methodologies influence liquidity and transaction costs across asset classes relevant to policymakers and investors.<p></p>
Table of Contents
1. The impact of MiFID II on transaction costs: Evidence from the LSE -- 2. To fix or not to fix, the Fix: Reassessing the effectiveness of the 4 pm WM/Refinitiv -- 3. The effect of speed bumps on Eurex options market’s liquidity: a differencein-difference analysis -- Conclusion -- Appendix A. Chapter 2 - Sample descriptive statistics -- Appendix B. Chapter 3 - Parallel Trend Assumption -- BibliographyNotes
Cotutelle thesis in conjunction with the Department of Economics and Management, University of TrentoAwarding Institution
Macquarie UniversityDegree Type
Thesis PhDDegree
Doctor of PhilosophyDepartment, Centre or School
Department of Applied FinanceYear of Award
2025Principal Supervisor
Andrew LeponeAdditional Supervisor 1
Abhay SinghAdditional Supervisor 2
Flavio BazzanaRights
Copyright: The Author
Copyright disclaimer: https://www.mq.edu.au/copyright-disclaimerLanguage
EnglishExtent
112 pagesFormer Identifiers
AMIS ID: 478538
