Who Is Really Creating Market Quality in Nasdaq Nordic-listed Stocks?

Tight spreads and deep, actionable liquidity are important for investors as it reduces their costs to trade. Academicresearch also findsthat it is important for issuers with lower volatility and smaller spread costs reducing their cost of capital.

The prices that exchanges publish create large and positive benefits (what economists call externalities) for investors and the public while also contributing to efficient asset allocation. Consequently, it is important for regulators and investors to ask: How do individual venues contribute to the securitys price formation process?

But in fragmented markets like the U.S. and Europe, with prices available to all at the speed of light, working out where prices are really being set, where actionable liquidity is best, and whether one market is doing more for market quality than others is hard.

However, there are ways to show that market quality isnt equal across all venues by measuring the quality of individual venues across multiple dimensions of their order books.