Essays on market microstructure

This dissertation presents three studies on financial market microstructure. The first investigates the impact of the Markets in Financial Instruments Directive II (MiFID II) on European equity markets. The second evaluates the revised WM/Refinitiv (WM/R) 4 pm FX benchmark methodology, introduced in 2015 and debated for further revision. The third examines speed competition in financial markets, focusing on options trading and Eurex’s Passive Liquidity Protection (PLP), aimed at curbing high-frequency trading effects. These studies offer insights into how regulations and methodologies influence liquidity and transaction costs across asset classes relevant to policymakers and investors.