How Did MiFID Affect Systemic Underperformance in the European Equity Market? A Tracking Error based Approach

Cheikh Niang, Alois Kanyinda-Kasanda

Abstract

Using a new methodology based on the decomposition of tracking error, we show that the implementation of MiFID improved the quality of European equity markets. The latter was favorable to the European equity investors’ ability to reach their investment objectives as measured by the systemic downside tracking error. In other words, after the implementation of the MiFID directive, investors were less likely to underperform due to unfavorable market characteristics. The results were statistically significant at the 95% significance level.

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Paper Citation


in Harvard Style

Niang C. and Kanyinda-Kasanda A. (2020). How Did MiFID Affect Systemic Underperformance in the European Equity Market? A Tracking Error based Approach.In Proceedings of the 2nd International Conference on Finance, Economics, Management and IT Business - Volume 1: FEMIB, ISBN 978-989-758-422-0, pages 57-62. DOI: 10.5220/0008772000570062


in Bibtex Style

@conference{femib20,
author={Cheikh Niang and Alois Kanyinda-Kasanda},
title={How Did MiFID Affect Systemic Underperformance in the European Equity Market? A Tracking Error based Approach},
booktitle={Proceedings of the 2nd International Conference on Finance, Economics, Management and IT Business - Volume 1: FEMIB,},
year={2020},
pages={57-62},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0008772000570062},
isbn={978-989-758-422-0},
}


in EndNote Style

TY - CONF

JO - Proceedings of the 2nd International Conference on Finance, Economics, Management and IT Business - Volume 1: FEMIB,
TI - How Did MiFID Affect Systemic Underperformance in the European Equity Market? A Tracking Error based Approach
SN - 978-989-758-422-0
AU - Niang C.
AU - Kanyinda-Kasanda A.
PY - 2020
SP - 57
EP - 62
DO - 10.5220/0008772000570062