Abstract

http://ssrn.com/abstract=1630499
 
 

Citations (12)



 


 



Diving Into Dark Pools


Sabrina Buti


University of Toronto - Rotman School of Management

Barbara Rindi


Bocconi University and IGIER and CAREFIN

Ingrid M. Werner


The Ohio State University - Fisher College of Business

June 1, 2010

Charles A. Dice Center Working Paper No. 2010-10
Fisher College of Business Working Paper No. 2010-03-010

Abstract:     
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 large firms, stocks with high share volume, high price, low spreads, high depth, and low short-term volatility. NASDAQ (AMEX) stocks have significantly higher (lower) dark pool activity than NYSE stocks controlling for size, share volume, and price. For a given stock, dark pool activity is significantly higher on days with higher share volume, higher depth, and lower intraday volatility. Dark pool activity is significantly lower for days with larger order imbalances relative to share volume and larger absolute returns. We find no evidence supporting the hypothesis that dark pool activity has a detrimental effect on market quality.

Number of Pages in PDF File: 43

Keywords: Dark pools, fragmentation, market quality, price discovery, market efficiency, SEC, microstructure

JEL Classification: G10, G12, G14, G18, G20


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Date posted: June 26, 2010 ; Last revised: July 11, 2015

Suggested Citation

Buti, Sabrina and Rindi, Barbara and Werner, Ingrid M., Diving Into Dark Pools (June 1, 2010). Charles A. Dice Center Working Paper No. 2010-10; Fisher College of Business Working Paper No. 2010-03-010. Available at SSRN: http://ssrn.com/abstract=1630499 or http://dx.doi.org/10.2139/ssrn.1630499

Contact Information

Sabrina Buti
University of Toronto - Rotman School of Management ( email )
105 St. George Street
Toronto, Ontario M5S 3E6
Canada
+1 416 946 0551 (Phone)
Barbara Rindi
Bocconi University and IGIER and CAREFIN ( email )
Via Roentgen 1
Milan, 20136
Italy
+39 58365328 (Phone)
HOME PAGE: http://faculty.unibocconi.eu/barbararindi
Ingrid M. Werner (Contact Author)
The Ohio State University - Fisher College of Business ( email )
2100 Neil Avenue
Columbus, OH 43210-1144
United States
614-292-6460 (Phone)
614-292-2418 (Fax)

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