Title: The impact of dark trading and visible fragmentation on market quality
Authors: Degryse, Hans ×
de Jong, Frank
van Kervel, Vincent #
Issue Date: 2015
Publisher: Kluwer Academic
Series Title: Review of Finance vol:19 pages:1587-1622
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 article 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.
ISSN: 1572-3097
Publication status: published
KU Leuven publication type: IT
Appears in Collections:Research Center Finance, Leuven
× corresponding author
# (joint) last author

Files in This Item:
File Description Status SizeFormat
Review of Finance-2015-Degryse-1587-622.pdf Published 342KbAdobe PDFView/Open Request a copy

These files are only available to some KU Leuven Association staff members


All items in Lirias are protected by copyright, with all rights reserved.

© Web of science