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

Ingrid M. Werner


The Ohio State University - Fisher College of Business

November 28, 2011

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 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.

Number of Pages in PDF File: 59

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

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

working papers series


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Date posted: June 26, 2010 ; Last revised: November 29, 2011

Suggested Citation

Buti, Sabrina and Rindi, Barbara and Werner, Ingrid M., Diving into Dark Pools (November 28, 2011). 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 ( 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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