| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP8630 |
| DP8630 The impact of dark trading and visible fragmentation on market quality | |
| Frank de Jong; Hans Degryse; Vincent van Kervel | |
| 发表日期 | 2011-11-01 |
| 出版年 | 2011 |
| 语种 | 英语 |
| 摘要 | Two important characteristics of current equity markets are the large number of trading venues with publicly displayed order books and the substantial fraction of trading that takes place in the dark, outside such visible order books. This paper evaluates the impact of dark trading and fragmentation in visible order books on liquidity. We consider global liquidity by consolidating the limit order books of all visible trading venues, and local liquidity by considering the traditional market only. We find that fragmentation in visible order books improves global liquidity, whereas dark trading has a detrimental effect. In addition, local liquidity is lowered by fragmentation in visible order books, which suggests that the benefits of fragmentation are not enjoyed by market participants who resort only to the traditional market. |
| 主题 | Financial Economics |
| 关键词 | Market microstructure Fragmentation Dark trading Liquidity |
| URL | https://cepr.org/publications/dp8630 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/537467 |
| 推荐引用方式 GB/T 7714 | Frank de Jong,Hans Degryse,Vincent van Kervel. DP8630 The impact of dark trading and visible fragmentation on market quality. 2011. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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