Shades of darkness: A pecking order of trading venues

• 成果类型: Article
• 署名作者: Menkveld, Albert J.; Yueshen, Bart Zhou; Zhu, Haoxiang
• 署名单位: Vrije Universiteit Amsterdam; Tinbergen Institute; INSEAD Business School; Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2017.03.004
• 发表日期: 2017
• 页码: 503-534
• 关键词: Dark pool; pecking order; FRAGMENTATION

摘要

We characterize the dynamic fragmentation of U.S. equity markets using a unique data set that disaggregates dark transactions by venue types. The pecking order hypothesis of trading venues states that investors sort various venue types, putting low-cost-low-immediacy venues on top and high-cost-high-immediacy venues at the bottom. Hence, midpoint dark pools on top, non-midpoint dark pools in the middle, and lit markets at the bottom. As predicted, following VIX shocks, macroeconomic news, and firms' earnings surprises, changes in venue market shares become progressively more positive (or less negative) down the pecking order. We further document heterogeneity across dark venue types and stock size groups. Published by Elsevier B.V.