Trading Places: Price Leadership and the Competition for Order Flow

51 Pages Posted: 16 Aug 2014 Last revised: 5 Oct 2018

See all articles by Gbenga Ibikunle

Gbenga Ibikunle

University of Edinburgh; European Capital Markets Cooperative Research Centre

Date Written: August 15, 2014


We investigate the role of price leadership and informed trading in the competition for order flow between high-tech entrant trading venues and established national trading venues. An analysis of BATS Chi-X Europe (Chi-X), a high-tech entrant, and London Stock Exchange (LSE), an established national exchange, suggests that Chi-X’s price leadership in the London market is critical to its acquisition of market share at LSE’s expense. Intraday variations in price leadership, driven by informed trading, liquidity constraints and institutional trading arrangements are, however, inconsistent with the theoretical liquidity-efficiency link. Asymmetric effects of dark and algorithmic trading across the platforms are also reported.

Keywords: Price discovery, MiFID, Multilateral Trading Facilities, Regulated Markets, Informed trading, High frequency trading

JEL Classification: G14, G15, G18, G23

Suggested Citation

Ibikunle, Gbenga, Trading Places: Price Leadership and the Competition for Order Flow (August 15, 2014). Journal of Empirical Finance, Forthcoming, 27th Australasian Finance and Banking Conference 2014 Paper, Available at SSRN: or

Gbenga Ibikunle (Contact Author)

University of Edinburgh ( email )

Old College
South Bridge
Edinburgh, Scotland EH8 9JY
United Kingdom

European Capital Markets Cooperative Research Centre ( email )

Viale Pidaro 42
Pescara, 65121

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