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This period coincided with a great deal of turbulence in the UK equity markets, which had multiple causes that need to be controlled for. To achieve this, we use the common correlated effects estimator for large heterogeneous panels. We extend this estimator to quantile regression to analyse the whole conditional distribution of market quality. We find that both fragmentation in visible order books and dark trading that is offered outside the visible order book lower volatility. But dark trading increases the variability of volatility, while visible fragmentation has the opposite effect, in particular at the upper quantiles of the conditional distribution. The transition from a monopolistic to a fragmented market is non\u2010monotonic with respect to the degree of fragmentation. Copyright \u00a9 2015\u2009John Wiley &amp; Sons, Ltd.<\/jats:p>","DOI":"10.1002\/jae.2438","type":"journal-article","created":{"date-parts":[[2015,4,28]],"date-time":"2015-04-28T05:53:38Z","timestamp":1430200418000},"page":"192-213","source":"Crossref","is-referenced-by-count":28,"title":["The Effect of Fragmentation in Trading on Market Quality in the UK Equity Market"],"prefix":"10.1002","volume":"31","author":[{"given":"Lena","family":"Boneva","sequence":"first","affiliation":[{"name":"London School of Economics  UK"},{"name":"Bank of England  London UK"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Oliver","family":"Linton","sequence":"additional","affiliation":[{"name":"Faculty of Economics University of Cambridge  UK"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Michael","family":"Vogt","sequence":"additional","affiliation":[{"name":"Department of Mathematics and Statistics University of Konstanz  Germany"}],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"311","published-online":{"date-parts":[[2015,4,28]]},"reference":[{"key":"e_1_2_9_2_1","doi-asserted-by":"publisher","DOI":"10.1111\/1540-6261.00454"},{"key":"e_1_2_9_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1386-4181(01)00024-6"},{"key":"e_1_2_9_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/B978-0-444-50897-3.50005-5"},{"key":"e_1_2_9_5_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2012.01749.x"},{"key":"e_1_2_9_6_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00138"},{"key":"e_1_2_9_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4266(03)00095-5"},{"key":"e_1_2_9_8_1","doi-asserted-by":"crossref","unstructured":"ButiS RindiB WernerIM.2010.Dynamic dark pool trading strategies in limit order markets. 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