Buti, Sabrina; Rindi, Barbara; Werner, Ingrid M. - 2022
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 …