Diving into dark pools

Sabrina Buti (Université Paris Dauphine-PSL), Barbara Rindi (Bocconi University and IGIER, and Baffi-Carefin) Ingrid Werner (The Ohio State University and CEPR)

This paper examines unique data on dark pool activity for a large cross-section of US stocks in 2009. Dark pool activity is concentrated in liquid stocks. Nasdaq (AMEX) stocks have significantly higher (lower) dark pool activity than NYSE stocks controlling for liquidity. For a given stock, dark pool activity is significantly higher on days with high share volume, high depth, low intraday volatility, low order imbalances relative to share volume, and low absolute returns. Results show that increased dark pool activity improves market quality measures such as spreads, depth, and short-term volatility. The relationship between dark pool activity and measures of price-efficiency is more complex

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Year of publication:	January 2022
Authors:	Buti, Sabrina ; Rindi, Barbara ; Werner, Ingrid M.
Publisher:	[Columbus, Ohio] : The Ohio State University, Fisher College of Business, Charles A. Dice Center for Research in Financial Economics
Subject:	Dark pools \| dark trading \| internalization \| fragmentation \| market quality \| microstructure \| Marktmikrostruktur \| Market microstructure \| Marktliquidität \| Market liquidity \| OTC-Handel \| OTC market \| Elektronisches Handelssystem \| Electronic trading \| Effizienzmarkthypothese \| Efficient market hypothesis \| Wertpapierhandel \| Securities trading

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Extent:	1 Online-Ressource (circa 78 Seiten) Illustrationen
Series:	Fisher College of Business working paper series. - Columbus, Ohio : [Verlag nicht ermittelbar], ZDB-ID 2189279-9. - Vol. WP 2022, 01 Charles A. Dice Center Working Paper ; No. 2010-10 Fisher College of Business working paper series. - Columbus, Ohio : [Verlag nicht ermittelbar], ZDB-ID 2412551-9. - Vol. WP 2022-03,01
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper
Language:	English
Other identifiers:	10.2139/ssrn.1630499 [DOI]
Classification:	G10 - General Financial Markets. General ; G12 - Asset Pricing ; G14 - Information and Market Efficiency; Event Studies ; G18 - Government Policy and Regulation ; G20 - Financial Institutions and Services. General
Source:	ECONIS - Online Catalogue of the ZBW

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