DescriptionI examine two exogenous issues and their impact on market quality. The first is the New York State imposed Securities Transaction Tax (STT). Over the last two decades there has been an ongoing debate among academics, politicians and regulators, across various jurisdictions, on the impact a STT has on market quality. I contribute to this debate by examining eight changes in the level of a STT, include all firms trading on the New York Stock Exchange (NYSE) and American Stock Exchange (AMEX) to test the impact on volatility and liquidity, and employ a dataset that offers the opportunity to study the impact of a STT on market share. Overall, there is no impact of a STT on volatility, contrary to proponents of the tax suggesting that a STT reduces volatility. I also find that spreads are directly related to a STT as spreads widen (tighten) when there is an increase (decrease) in the level of the tax. In addition, I find support for the hypothesis that a STT in New York State drives volume to regional exchanges. These findings confirm what opponents of the STT suggest: a STT does not decrease volatility, increases spreads and is accompanied by a decline in market share on the local exchange. The second issue I study is the impact of forced consolidation. There is a general lack of agreement among academics as to the optimal level of consolidation in markets. This paper contributes to the ongoing debate by examining the impact of the SEC mandated consolidation of US markets on various measures of market quality. The overall findings suggest that consolidation improves market quality. In particular I find that volatility, effective spreads, and Amihud's illiquidity measure all decline following the imposition of three consolidating systems on US markets in the 1970s: the Consolidated Tape System, the Inter-market Trading System, and the Consolidated Quote System. My findings are robust to changes in firm-specific variables, market wide trends, and the endogeneity of control variables. Given recent announcements concerning consolidation efforts on both sides of the Atlantic, this paper has immediate policy implications.