Differential access to dark markets and execution outcomes☆

• 成果类型: Article
• 署名作者: Brugler, James; Comerton-Forde, Carole
• 署名单位: University of Melbourne
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2025.104086
• 发表日期: 2025
• 关键词: Dark trading; Execution outcomes; High frequency trading; segmentation

摘要

Dark pools can restrict access for specific trader types. We compare execution outcomes between dark pools that restrict high frequency trader access and those that do not. We find that trades executed in dark pools with more access restrictions have less order flow information leakage, adverse selection risk and post-trade order imbalances than trades in less restricted pools. Evidence from exogenous dark pool closures demonstrates that these differences are causal. The ability to segment order flow can benefit investors because it allows them to make trade-offs between execution risk and information leakage across different dark venues.