Impact of MiFID II on the Market Volatility—Analysis on Some Developed and Emerging European Stock Markets

Laws

Marius Cristian Miloș¹ 

[1] Faculty of Economics and Business Administration, West University of Timisoara, 300115 Timisoara, Romania;

关键词: regulation;    MiFID II;    stock market;    volatility;   

DOI  :  10.3390/laws10030055

来源: DOAJ

【 摘 要 】

The paper investigates whether the implementation of MiFID II, a packet of financial legislation applying broadly to European Union financial markets, has led to a change in the volatility of some European developed and emerging stock markets. We show that for the developed capital markets considered in the analysis, MiFID II did not lead to a decrease in the volatility of capital markets. On the contrary, for all analysis intervals considered (3 months, 6 months, 12 months, 18 months and 24 months), the impact on volatility is positive, with volatility increasing in the case of the FTSE 100, CAC40 and DAX stock indexes. There is a similar significant relationship for the Czech stock market, but only over the three-month interval. For the Polish and Romanian stock markets, which enforced MiFID II later, a negative impact of MiFID II on volatility could also be observed. In the Romanian market, MiFID II had a negative impact on volatility on the short-term horizon, while for the Polish market, the impact of MiFID II on volatility is noticeable on a longer term of 24 months.

【 授权许可】

Unknown