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Article

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

Faculty of Economics and Business Administration, West University of Timisoara, 300115 Timisoara, Romania
Laws 2021, 10(3), 55; https://doi.org/10.3390/laws10030055
Received: 1 June 2021 / Revised: 21 June 2021 / Accepted: 25 June 2021 / Published: 30 June 2021
(This article belongs to the Special Issue Securitization and Financial Innovation in a Post Crisis World)
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. View Full-Text
Keywords: regulation; MiFID II; stock market; volatility regulation; MiFID II; stock market; volatility
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MDPI and ACS Style

Miloș, M.C. Impact of MiFID II on the Market Volatility—Analysis on Some Developed and Emerging European Stock Markets. Laws 2021, 10, 55. https://doi.org/10.3390/laws10030055

AMA Style

Miloș MC. Impact of MiFID II on the Market Volatility—Analysis on Some Developed and Emerging European Stock Markets. Laws. 2021; 10(3):55. https://doi.org/10.3390/laws10030055

Chicago/Turabian Style

Miloș, Marius C. 2021. "Impact of MiFID II on the Market Volatility—Analysis on Some Developed and Emerging European Stock Markets" Laws 10, no. 3: 55. https://doi.org/10.3390/laws10030055

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