The determinants of alternative trading venue market share: Global evidence from the introduction of Chi-X

In this paper, we examine market share drivers of a prominent alternative trading venue (Chi-X) in an international context. We find that Chi-X׳s market share is negatively related to trading fees and latency, while positively related to liquidity relative to primary exchanges. Venue market share is negatively related to order-to-trade ratio and positively related to average trade size, suggesting traders' preference to interact with natural and accessible liquidity. Furthermore, trading tends to concentrate on the primary exchange during market stress, while tick constraint stocks tend to trade more on Chi-X to avoid queuing at the touch on the primary exchange.