Non-Execution and Market Share of Crossing Networks

57 Pages Posted: 4 Dec 2010

See all articles by Mao Ye

Mao Ye

University of Illinois at Urbana-Champaign; National Bureau of Economic Research (NBER)

Date Written: November 30, 2010

Abstract

We examine the non-execution probability and market share of crossing networks (dark pool) using SEC 605 data for NYSE and NASDAQ stocks. We find that crossing networks have lower effective spread and price impact of trade, but they also have lower execution probability and speed of trade. Non-execution is positive correlated with price impact, decreases in trading volume and increases in volatility. Crossing networks have higher market share for stocks with lower volatility and higher volume. We also find that the underlying assumption in previous literature, that stocks with higher effective spreads have higher reductions in effective spread by trading in crossing networks, is not supported by data.

Keywords: Dark Pool, Crossing Network, Non-execution, Execution Probability, Transaction Costs

JEL Classification: G10, G20

Suggested Citation

Ye, Mao, Non-Execution and Market Share of Crossing Networks (November 30, 2010). Available at SSRN: https://ssrn.com/abstract=1719016 or http://dx.doi.org/10.2139/ssrn.1719016

Mao Ye (Contact Author)

University of Illinois at Urbana-Champaign ( email )

406 Wohlers
1206 South 6th Street
Champaign, IL 61820
United States
2172440474 (Phone)

National Bureau of Economic Research (NBER) ( email )

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

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