Abstract

http://ssrn.com/abstract=2055808
 
 

Citations (4)



 


 



Dark Pool Exclusivity Matters


Leslie Boni


University of New Mexico - Department of Finance, International, and Techology (FIT)

David C. Brown


University of Arizona - Department of Finance

J. Chris Leach


University of Colorado at Boulder - Department of Finance

December 19, 2013


Abstract:     
Recent dark pool proliferation has magnified regulatory and academic concerns about equal access and market quality implications. Some dark pools, hoping to create an environment more amenable to buy-side institutional investors, craft their rules to discourage – or even exclude – brokers, high frequency traders and order-flow-information traders. We examine the role participation constraints play in large trade execution and find that a dark pool targeting buy-side counterparties experiences less serial correlation in returns, less volume and volatility increase pre-trade, and more trade clustering within and across days. Exclusivity influences execution quality. Not all dark pools are created equal.

Number of Pages in PDF File: 48

Keywords: Dark pools, exclusivity, market microstructure, institutional trading, block trades

JEL Classification: G12, G14, G18

working papers series


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Date posted: May 11, 2012 ; Last revised: December 19, 2013

Suggested Citation

Boni, Leslie and Brown, David C. and Leach, J. Chris, Dark Pool Exclusivity Matters (December 19, 2013). Available at SSRN: http://ssrn.com/abstract=2055808 or http://dx.doi.org/10.2139/ssrn.2055808

Contact Information

Leslie A Boni
University of New Mexico - Department of Finance, International, and Techology (FIT) ( email )
MSC 05-3090
U of New Mexico
Albuquerque, NM 87131
United States
505-277-1485 (Phone)
David C. Brown (Contact Author)
University of Arizona - Department of Finance ( email )
McClelland Hall
P.O. Box 210108
Tucson, AZ 85721-0108
United States
520-626-0746 (Phone)
HOME PAGE: http://www.davidclaytonbrown.com
J. Chris Leach
University of Colorado at Boulder - Department of Finance ( email )
Campus Box 419
Boulder, CO 80309-0419
United States
303-492-5665 (Phone)
303-492-5962 (Fax)
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