The Impact of Dark Trading and Visible Fragmentation on Market Quality

Two important characteristics of current equity markets are the large number of competing trading venues with publicly displayed order books and the substantial fraction of dark trading, which takes place outside such visible order books. This paper evaluates the impact on liquidity of dark trading and fragmentation in visible order books. Dark trading has a detrimental effect on liquidity. Visible fragmentation improves liquidity aggregated over all visible trading venues but lowers liquidity at the traditional market, meaning that the benefits of fragmentation are not enjoyed by investors who choose to send orders only to the traditional market

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Year of publication:	2014
Authors:	Degryse, Hans
Other Persons:	De Jong, Frank (contributor) ; van Kervel, Vincent (contributor)
Publisher:	[2014]: [S.l.] : SSRN
Subject:	Marktmikrostruktur \| Market microstructure \| Niederlande \| Netherlands \| Finanzmarktregulierung \| Financial market regulation \| Marktliquidität \| Market liquidity \| Marktsegmentierung \| Market segmentation

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Extent:	1 Online-Ressource (44 p)
Series:	TILEC Discussion Paper ; No. 2011-026
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 2014 erstellt
Other identifiers:	10.2139/ssrn.1815025 [DOI]
Classification:	G10 - General Financial Markets. General ; G14 - Information and Market Efficiency; Event Studies ; G15 - International Financial Markets
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013068200