Should we be afraid of the dark? Dark trading and market quality

• 成果类型: Article
• 署名作者: Foley, Sean; Putnins, Tails J.
• 署名单位: University of Sydney; University of Technology Sydney
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2016.08.004
• 发表日期: 2016
• 页码: 456-481
• 关键词: Dark pool; Dark trading; regulation; liquidity; market efficiency; TRANSPARENCY

摘要

We exploit a unique natural experiment recent restrictions of dark trading in Canada and Australia and proprietary trade-level data to analyze the effects of dark trading. Disaggregating two types of dark trading, we find that dark limit order markets are beneficial to market quality, reducing quoted, effective, and realized spreads and increasing informational efficiency. In contrast, we do not find consistent evidence that dark midpoint crossing systems significantly affect market quality. Our results support recent theory that dark limit order markets encourage aggressive competition in liquidity provision. We discuss implications for the regulation of dark trading and tick sizes. (C) 2016 Elsevier B.V. All rights reserved.