Dark trading and price discovery

• 成果类型: Article
• 署名作者: Comerton-Forde, Carole; Putnins, Talis J.
• 署名单位: University of Melbourne; University of Technology Sydney
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2015.06.013
• 发表日期: 2015
• 页码: 70-92
• 关键词: Dark pool; Price discovery; EFFICIENCY

摘要

Regulators globally are concerned that dark trading harms price discovery. We show that dark trades are less informed than lit trades. High levels of dark trading increase adverse selection risk on the lit exchange by increasing the concentration of informed traders. Using both high- and low-frequency measures of informational efficiency we find that low levels of non-block dark trading are benign or even beneficial for informational efficiency, but high levels are harmful. In contrast, we find no evidence that block trades in the dark impede price discovery. (C) 2015 Elsevier B.V. All rights reserved.