Abstract

http://ssrn.com/abstract=1815025
 
 

References (51)



 
 

Citations (9)



 
 

Footnotes (28)



 


 



The Impact of Dark Trading and Visible Fragmentation on Market Quality


Hans Degryse


KU Leuven, Department Accounting, Finance and Insurance; Centre for Economic Policy Research (CEPR)

Frank De Jong


Tilburg University - Department of Finance

Vincent Van Kervel


VU University Amsterdam; Tilburg Law and Economics Center (TILEC)

January 2014

TILEC Discussion Paper No. 2011-026

Abstract:     
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.

Number of Pages in PDF File: 44

Keywords: Market microstructure, Fragmentation, Dark trading, Liquidity

JEL Classification: G10, G14, G15

working papers series





Download This Paper

Date posted: May 19, 2011 ; Last revised: February 17, 2014

Suggested Citation

Degryse, Hans and De Jong, Frank and van Kervel, Vincent, The Impact of Dark Trading and Visible Fragmentation on Market Quality (January 2014). TILEC Discussion Paper No. 2011-026. Available at SSRN: http://ssrn.com/abstract=1815025 or http://dx.doi.org/10.2139/ssrn.1815025

Contact Information

Hans Degryse (Contact Author)
KU Leuven, Department Accounting, Finance and Insurance ( email )
Naamsestraat 69
Leuven, B-3000
Belgium
Centre for Economic Policy Research (CEPR)
77 Bastwick Street
London, EC1V 3PZ
United Kingdom
Frank De Jong
Tilburg University - Department of Finance ( email )
P.O. Box 90153
Tilburg, 5000 LE
Netherlands
Vincent Van Kervel
VU University Amsterdam ( email )
De Boelelaan 1105
Amsterdam, ND North Holland 1081 HV
Netherlands
Tilburg Law and Economics Center (TILEC) ( email )
Warandelaan 2
Tilburg, 5000 LE
Netherlands
Feedback to SSRN


Paper statistics
Abstract Views: 2,806
Downloads: 765
Download Rank: 11,487
References:  51
Citations:  9
Footnotes:  28

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo7 in 0.468 seconds