The Spanish Securities Commission (CNMV) has published the article “Market Fragmentation: A Cushion Against Exchange Outages?” examining whether having multiple trading venues for the same shares provides effective redundancy when an exchange suffers an interruption. The paper finds that when outages affect the primary exchange for the shares studied, overall market liquidity deteriorates sharply even though trading remains technically possible on alternative venues. During such interruptions the effective spread increases by 110% and turnover falls by 96%, suggesting that higher ex ante fragmentation does not mitigate outage-related illiquidity. The authors infer that traders on alternative venues prefer to abstain from trading when the main exchange fails because they perceive they lack sufficient information, and they link the findings to other research including a prior CNMV studies department paper on fragmentation in trading of Spanish securities across European venues. The article, authored by Hans Degryse (KU Leuven and CEPR), Björn Hagströmer (Sveriges Riksbank) and Niklas Landsberg (KU Leuven), received the CNMV prize for the best paper on securities markets and regulation at AEFIN’s XXXII Finance Forum held in July 2025; the next Finance Forum is scheduled for 9 and 10 July 2026 in Alicante.
Spanish Securities Commission (CNMV) 2026-02-27
Spanish Securities Commission publishes award-winning study showing market fragmentation does not cushion liquidity during exchange outages
The Spanish Securities Commission (CNMV) study, “Market Fragmentation: A Cushion Against Exchange Outages?” finds market liquidity deteriorates sharply during primary exchange outages, despite alternative venues. Effective spreads increase by 110% and turnover falls by 96%, showing fragmentation doesn't mitigate outage-related illiquidity. Authored by Hans Degryse, Björn Hagströmer, and Niklas Landsberg, it won the CNMV prize for best paper on securities markets and regulation at AEFIN’s XXXII Finance Forum.