The Faculty of Finance at the City University of Macau held the fourteenth academic salon of this academic year on April 16, 2025, in room G2213 on the Golden Dragon campus. The guest speaker is Dr. Lewen Guo from Waseda University. Dr. Guo's presentation topic was "Market Fragmentation and Price Impact".

This paper studies the effects of market fragmentation on price impact. Using a newly launched exchange as an experiment, this paper finds an increase in market fragmentation leads to a higher price impact of trading in U.S. equity exchanges. This paper's IV estimates suggest that a 1.6% increase in market fragmentation level induces approximately 4.4 bps to 20.8 bps increase in exchange-based price impact. This effect is more pronounced for small stocks than large stocks. The results imply that introducing a lit exchange changes the order book slopes and informativeness in a multi-market setting, thereby increasing the price impact of trading.

In this academic salon, Dr. Guo shared his latest research findings with the Faculty of Finance, broadening the academic scope of the faculty. The Faculty of Finance Academic Salon at the City University of Macau is a platform for exchanging academic ideas and enhancing academic awareness. We focus on finance, inviting experts from academia and the financial industry to discuss cutting-edge research and share industry development trends, aiming to bring new academic experiences and thinking models to the faculty and students of the university. We hope that through academic activities like the academic salon, we can provide a better academic platform for graduate students and encourage further exploration and research of academic issues among faculty and students.