Hidden Liquidity: Some New Light on Dark Trading

• 成果类型: Article
• 署名作者: Bloomfield, Robert; O'Hara, Maureen; Saar, Gideon
• 署名单位: Cornell University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12301
• 发表日期: 2015
• 页码: 2227-2273
• 关键词: markets; ORDERS; prices

摘要

Using a laboratory market, we investigate how the ability to hide orders affects traders' strategies and market outcomes in a limit order book environment. We find that order strategies are greatly affected by allowing hidden liquidity, with traders substituting nondisplayed for displayed shares and changing the aggressiveness of their trading. As traders adapt their behavior to the different opacity regimes, however, most aggregate market outcomes (such as liquidity and informational efficiency) are not affected as much. We also find that opacity appears to increase the profits of informed traders but only when their private information is very valuable.