Abstract

http://ssrn.com/abstract=1964120
 
 

References (52)



 
 

Citations (9)



 
 

Footnotes (29)



 


 



The Impact of Dark Trading and Visible Fragmentation on Market Quality


Frank De Jong


Tilburg University - Department of Finance

Hans Degryse


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

Vincent Van Kervel


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

November 2011

CEPR Discussion Paper No. DP8630

Abstract:     
Two important characteristics of current equity markets are the large number of trading venues with publicly displayed order books and the substantial fraction of trading that takes place in the dark, outside such visible order books. This paper evaluates the impact of dark trading and fragmentation in visible order books on liquidity. We consider global liquidity by consolidating the limit order books of all visible trading venues, and local liquidity by considering the traditional market only. We find that fragmentation in visible order books improves global liquidity, whereas dark trading has a detrimental effect. In addition, local liquidity is lowered by fragmentation in visible order books, which suggests that the benefits of fragmentation are not enjoyed by market participants who resort only to the traditional market.

Number of Pages in PDF File: 53

Keywords: dark trading, fragmentation, liquidity, market microstructure

JEL Classification: G10, G14, G15

working papers series


Date posted: November 24, 2011  

Suggested Citation

De Jong, Frank and Degryse, Hans and van Kervel, Vincent, The Impact of Dark Trading and Visible Fragmentation on Market Quality (November 2011). CEPR Discussion Paper No. DP8630. Available at SSRN: http://ssrn.com/abstract=1964120

Contact Information

Frank De Jong (Contact Author)
Tilburg University - Department of Finance ( email )
P.O. Box 90153
Tilburg, 5000 LE
Netherlands
Hans Degryse
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
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: 290
Downloads: 9
References:  52
Citations:  9
Footnotes:  29

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo5 in 0.500 seconds