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Dark trading and price discovery

Citations

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Cited by:

  1. Michael J Fleming & Giang Nguyen, 2019. "Price and Size Discovery in Financial Markets: Evidence from the U.S. Treasury Securities Market," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 9(2), pages 256-295.
  2. Shaen Corbet & Yang (Greg) Hou & Yang Hu & Les Oxley, 2022. "We Reddit in a Forum: The Influence of Message Boards on Firm Stability," Review of Corporate Finance, now publishers, vol. 2(1), pages 151-190, March.
  3. Buti, Sabrina & Rindi, Barbara & Werner, Ingrid M., 2010. "Diving into Dark Pools," Working Paper Series 2010-10, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  4. Egginton, Jared F. & McBrayer, Garrett A. & Watson, Ethan D., 2023. "Shades of trade: Dark trading and price efficiency," Journal of Banking & Finance, Elsevier, vol. 155(C).
  5. Tao Chen, 2022. "Are individuals informed in global markets?," Empirical Economics, Springer, vol. 63(1), pages 243-263, July.
  6. Fany Declerck & Laurence Lescourret, 2015. "Dark pools et trading haute fréquence : une évolution utile ?," Revue d'économie financière, Association d'économie financière, vol. 0(4), pages 113-126.
  7. Hendershott, Terrence & Wee, Marvin & Wen, Yuanji, 2022. "Transparency in fragmented markets: Experimental evidence," Journal of Financial Markets, Elsevier, vol. 59(PA).
  8. Antonio Briola & Jeremy Turiel & Riccardo Marcaccioli & Alvaro Cauderan & Tomaso Aste, 2021. "Deep Reinforcement Learning for Active High Frequency Trading," Papers 2101.07107, arXiv.org, revised Aug 2023.
  9. Joel Hasbrouck, 2021. "Price Discovery in High Resolution," Journal of Financial Econometrics, Oxford University Press, vol. 19(3), pages 395-430.
  10. O'Hara, Maureen & Alex Zhou, Xing, 2021. "The electronic evolution of corporate bond dealers," Journal of Financial Economics, Elsevier, vol. 140(2), pages 368-390.
  11. Markus Baldauf & Joshua Mollner, 2015. "Trading in Fragmented Markets," Discussion Papers 15-018, Stanford Institute for Economic Policy Research.
  12. Justin Cox, 2020. "Market fragmentation and post-earnings announcement drift," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 44(3), pages 587-610, July.
  13. Xu, Liao & Xu, Lu & Zhao, Jing & Zhao, Yang, 2020. "Information-based trading and information propagation: Evidence from the exchange traded fund market," International Review of Financial Analysis, Elsevier, vol. 70(C).
  14. Petrescu, Monica & Wedow, Michael, 2017. "Dark pools in European equity markets: emergence, competition and implications," Occasional Paper Series 193, European Central Bank.
  15. Xu, Liao & Yin, Xiangkang, 2017. "Does ETF trading affect the efficiency of the underlying index?," International Review of Financial Analysis, Elsevier, vol. 51(C), pages 82-101.
  16. Rasmeet Kohli, 2014. "Market fragmentation of securities market: traditional exchanges versus alternate trading venues," Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, vol. 7(2), pages 303-314, September.
  17. Johann, Thomas & Putnins, Talis & Sagade, Satchit & Westheide, Christian, 2019. "Quasi-dark trading: The effects of banning dark pools in a world of many alternatives," SAFE Working Paper Series 253, Leibniz Institute for Financial Research SAFE.
  18. Stephen N. Jurich, 2020. "Size Precedence And Share Volume: The Case Of The Psx Exchange," Journal of Financial Management, Markets and Institutions (JFMMI), World Scientific Publishing Co. Pte. Ltd., vol. 8(02), pages 1-28, December.
  19. Zhu, Hongyu & Yamamoto, Ryuichi, 2022. "Order submission, information asymmetry, and tick size," Pacific-Basin Finance Journal, Elsevier, vol. 74(C).
  20. Pierre Collin‐Dufresne & Benjamin Junge & Anders B. Trolle, 2020. "Market Structure and Transaction Costs of Index CDSs," Journal of Finance, American Finance Association, vol. 75(5), pages 2719-2763, October.
  21. Zhang, Chris H. & Frijns, Bart, 2019. "Noise trading and informational efficiency," EconStor Preprints 198037, ZBW - Leibniz Information Centre for Economics.
  22. Alexander Eisele & Tamara Nefedova & Gianpaolo Parise, 2015. "Are Star Funds Really Shining? Cross-trading And Performance Shifting In Mutual Fund Families," Post-Print hal-01458357, HAL.
  23. Comerton-Forde, Carole & Grégoire, Vincent & Zhong, Zhuo, 2019. "Inverted fee structures, tick size, and market quality," Journal of Financial Economics, Elsevier, vol. 134(1), pages 141-164.
  24. Olga Dodd & Aaron Gilbert, 2016. "The Impact of Cross-Listing on the Home Market's Information Environment and Stock Price Efficiency," The Financial Review, Eastern Finance Association, vol. 51(3), pages 299-328, August.
  25. Li, Mingyi & Yin, Xiangkang & Zhao, Jing, 2020. "Does program trading contribute to excess comovement of stock returns?," Journal of Empirical Finance, Elsevier, vol. 59(C), pages 257-277.
  26. Albuquerque, Rui & Song, Shiyun & Yao, Chen, 2017. "The Price Effects of Liquidity Shocks: A Study of SEC’s Tick-Size Experiment," CEPR Discussion Papers 12486, C.E.P.R. Discussion Papers.
  27. S. Sarah Zhang, 2018. "Need for speed: Hard information processing in a high‐frequency world," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(1), pages 3-21, January.
  28. He, William Peng & Lepone, Andrew, 2014. "Determinants of liquidity and execution probability in exchange operated dark pool: Evidence from the Australian Securities Exchange," Pacific-Basin Finance Journal, Elsevier, vol. 30(C), pages 1-16.
  29. Damien Wallace & Petko S. Kalev & Guanhua Lian, 2019. "The evolution of price discovery in us equity and derivatives markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(9), pages 1122-1136, September.
  30. Xu, Liao & Pu, Wenyan, 2022. "ETFs, arbitrage activity, and stock market efficiency: Evidence from Chinese CSI 300 ETFs," Economic Analysis and Policy, Elsevier, vol. 73(C), pages 1-9.
  31. Kwan, Amy & Masulis, Ronald & McInish, Thomas H., 2015. "Trading rules, competition for order flow and market fragmentation," Journal of Financial Economics, Elsevier, vol. 115(2), pages 330-348.
  32. Garvey, Ryan & Huang, Tao & Wu, Fei, 2016. "Why do traders choose dark markets?," Journal of Banking & Finance, Elsevier, vol. 68(C), pages 12-28.
  33. Degryse, Hans & Karagiannis, Nikolaos & Tombeur, Geoffrey & Wuyts, Gunther, 2021. "Two shades of opacity: Hidden orders and dark trading," Journal of Financial Intermediation, Elsevier, vol. 47(C).
  34. Chakrabarty, Bidisha & Pascual, Roberto, 2023. "Stock liquidity and algorithmic market making during the COVID-19 crisis," Journal of Banking & Finance, Elsevier, vol. 147(C).
  35. Alexander, Carol & Choi, Jaehyuk & Massie, Hamish R.A. & Sohn, Sungbin, 2020. "Price discovery and microstructure in ether spot and derivative markets," International Review of Financial Analysis, Elsevier, vol. 71(C).
  36. Tourani-Rad, Alireza & Gilbert, Aaron & Chen, Jun, 2016. "Are foreign IPOs really foreign? Price efficiency and information asymmetry of Chinese foreign IPOs," Journal of Banking & Finance, Elsevier, vol. 63(C), pages 95-106.
  37. Duong, Huu Nhan & Kalev, Petko S. & Tian, Xiao Jason, 2022. "Does the bid–ask spread affect trading in exchange operated dark pools? Evidence from a natural experiment," Journal of Economic Dynamics and Control, Elsevier, vol. 139(C).
  38. Sadoghi, Amirhossein & Vecer, Jan, 2022. "Optimal liquidation problem in illiquid markets," European Journal of Operational Research, Elsevier, vol. 296(3), pages 1050-1066.
  39. Lee, Albert J. & Chung, Kee H., 2022. "Hidden liquidity, market quality, and order submission strategies," Journal of Financial Markets, Elsevier, vol. 61(C).
  40. Ibikunle, Gbenga & Rzayev, Khaladdin, 2023. "Volatility and dark trading: Evidence from the Covid-19 pandemic," The British Accounting Review, Elsevier, vol. 55(4).
  41. Haoxiang Zhu, 2014. "Do Dark Pools Harm Price Discovery?," The Review of Financial Studies, Society for Financial Studies, vol. 27(3), pages 747-789.
  42. Bayona, Anna & Dumitrescu, Ariadna & Manzano, Carolina, 2023. "Information and optimal trading strategies with dark pools," Economic Modelling, Elsevier, vol. 126(C).
  43. Amirhossein Sadoghi & Jan Vecer, 2022. "Optimal liquidation problem in illiquid markets," Post-Print hal-03696768, HAL.
  44. Carol Alexander & Jaehyuk Choi & Heungju Park & Sungbin Sohn, 2020. "BitMEX bitcoin derivatives: Price discovery, informational efficiency, and hedging effectiveness," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(1), pages 23-43, January.
  45. Ibikunle, Gbenga & Aquilina, Matteo & Diaz-Rainey, Ivan & Sun, Yuxin, 2021. "City goes dark: Dark trading and adverse selection in aggregate markets," Journal of Empirical Finance, Elsevier, vol. 64(C), pages 1-22.
  46. Caihong Xu & Dong Zhang, 2019. "Market openness and market quality in gold markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(3), pages 384-401, March.
  47. Jon A. Fulkerson & Timothy B. Riley, 2017. "Mutual Fund Liquidity Costs," Financial Management, Financial Management Association International, vol. 46(2), pages 359-375, June.
  48. Philip, R., 2020. "Estimating permanent price impact via machine learning," Journal of Econometrics, Elsevier, vol. 215(2), pages 414-449.
  49. Narayan, Seema & Smyth, Russell, 2015. "The financial econometrics of price discovery and predictability," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 380-393.
  50. Antonio Briola & Tomaso Aste, 2022. "Dependency structures in cryptocurrency market from high to low frequency," Papers 2206.03386, arXiv.org, revised Dec 2022.
  51. Apergis, Nicholas & Voliotis, Dimitrios, 2015. "Spillover effects between lit and dark stock markets: Evidence from a panel of London Stock Exchange transactions," International Review of Financial Analysis, Elsevier, vol. 41(C), pages 101-106.
  52. Chen, Tao, 2019. "Trade-size clustering and price efficiency," Japan and the World Economy, Elsevier, vol. 49(C), pages 195-203.
  53. Jose S. Penalva & Mikel Tapia, 2021. "Heterogeneity and Competition in Fragmented Markets: Fees Vs Speed," Applied Mathematical Finance, Taylor & Francis Journals, vol. 28(2), pages 143-177, March.
  54. Seyed Mohammadreza Davoodalhosseini, 2020. "Adverse Selection With Heterogeneously Informed Agents," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 61(3), pages 1307-1358, August.
  55. Gozluklu, Arie E., 2016. "Pre-trade transparency and informed trading: Experimental evidence on undisclosed orders," Journal of Financial Markets, Elsevier, vol. 28(C), pages 91-115.
  56. Chiarella, Carl & He, Xue-Zhong & Wei, Lijian, 2015. "Learning, information processing and order submission in limit order markets," Journal of Economic Dynamics and Control, Elsevier, vol. 61(C), pages 245-268.
  57. Linlin Ye, 2016. "Understanding the Impacts of Dark Pools on Price Discovery," Papers 1612.08486, arXiv.org.
  58. Menkveld, Albert J. & Yueshen, Bart Zhou & Zhu, Haoxiang, 2017. "Shades of darkness: A pecking order of trading venues," Journal of Financial Economics, Elsevier, vol. 124(3), pages 503-534.
  59. Ibikunle, Gbenga, 2018. "Trading places: Price leadership and the competition for order flow," Journal of Empirical Finance, Elsevier, vol. 49(C), pages 178-200.
  60. Halim, Edward & Riyanto, Yohanes E. & Roy, Nilanjan & Wang, Yan, 2022. "The Bright Side of Dark Markets: Experiments," MPRA Paper 111803, University Library of Munich, Germany.
  61. Osama Ahmed, 2021. "Assessing the Current Situation of the World Wheat Market Leadership: Using the Semi-Parametric Approach," Mathematics, MDPI, vol. 9(2), pages 1-21, January.
  62. Manuela Geranio, 2016. "Evolution of the Exchange Industry," Springer Books, Springer, number 978-3-319-21027-8, September.
  63. Gbenga Ibikunle & Davide Mare & Yuxin Sun, 2020. "The paradoxical effects of market fragmentation on adverse selection risk and market efficiency," The European Journal of Finance, Taylor & Francis Journals, vol. 26(14), pages 1439-1461, September.
  64. Tao Chen, 2020. "Trade‐size clustering and informed trading in global markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 25(4), pages 579-597, October.
  65. Hatheway, Frank & Kwan, Amy & Zheng, Hui, 2017. "An Empirical Analysis of Market Segmentation on U.S. Equity Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 52(6), pages 2399-2427, December.
  66. Xu, Liao & Zhang, Xuan & Zhao, Jing, 2023. "Limited investor attention and biased reactions to information: Evidence from the COVID-19 pandemic," Journal of Financial Markets, Elsevier, vol. 62(C).
  67. Zhang, Chris H. & Kalev, Petko S., 2021. "How noise trading affects informational efficiency: Evidence from an order-driven market," Pacific-Basin Finance Journal, Elsevier, vol. 68(C).
  68. Peter Gomber & Satchit Sagade & Erik Theissen & Moritz Christian Weber & Christian Westheide, 2017. "Competition Between Equity Markets: A Review Of The Consolidation Versus Fragmentation Debate," Journal of Economic Surveys, Wiley Blackwell, vol. 31(3), pages 792-814, July.
  69. Gomber, Peter & Sagade, Satchit & Theissen, Erik & Weber, Moritz Christian & Westheide, Christian, 2016. "Spoilt for choice: Order routing decisions in fragmented equity markets," SAFE Working Paper Series 143, Leibniz Institute for Financial Research SAFE.
  70. Joel Hasbrouck, 2021. "Rejoinder on: Price Discovery in High Resolution," Journal of Financial Econometrics, Oxford University Press, vol. 19(3), pages 465-471.
  71. Dodd, Olga & Frijns, Bart, 2018. "NYSE closure and global equity trading: The case of cross-listed stocks," International Review of Financial Analysis, Elsevier, vol. 60(C), pages 138-150.
  72. Ibikunle, Gbenga & Li, Youwei & Mare, Davide & Sun, Yuxin, 2021. "Dark matters: The effects of dark trading restrictions on liquidity and informational efficiency," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 75(C).
  73. Zhang, Zeyu & Ibikunle, Gbenga, 2023. "The market quality effects of sub-second frequent batch auctions: Evidence from dark trading restrictions," International Review of Financial Analysis, Elsevier, vol. 89(C).
  74. Charles E. Hyde, 2018. "The Piotroski F†score: evidence from Australia," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 58(2), pages 423-444, June.
  75. Duong, Huu Nhan & Lajbcygier, Paul & Lu, Jerry Shuai & Vu, Van Hoang, 2018. "The effect of anonymity on price efficiency: Evidence from the removal of broker identities," Pacific-Basin Finance Journal, Elsevier, vol. 51(C), pages 95-107.
  76. Suchismita Mishra & Le Zhao, 2021. "Order Routing Decisions for a Fragmented Market: A Review," JRFM, MDPI, vol. 14(11), pages 1-32, November.
  77. Dirk G. Baur & Thomas Dimpfl, 2019. "Price discovery in bitcoin spot or futures?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(7), pages 803-817, July.
  78. Rzayev, Khaladdin & Ibikunle, Gbenga, 2019. "A state-space modeling of the information content of trading volume," Journal of Financial Markets, Elsevier, vol. 46(C).
  79. Thanh Huong Nguyen, 2019. "Information and Noise in Stock Markets: Evidence on the Determinants and Effects Using New Empirical Measures," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 7-2019.
  80. Gonçalves, Jorge & Kräussl, Roman & Levin, Vladimir, 2023. "Dark trading and financial markets stability," CFS Working Paper Series 691, Center for Financial Studies (CFS).
  81. Albuquerque, Rui & Song, Shiyun & Yao, Chen, 2020. "The price effects of liquidity shocks: A study of the SEC’s tick size experiment," Journal of Financial Economics, Elsevier, vol. 138(3), pages 700-724.
  82. Michael Brolley, 2020. "Price Improvement and Execution Risk in Lit and Dark Markets," Management Science, INFORMS, vol. 66(2), pages 863-886, February.
  83. Buti, Sabrina & Consonni, Francesco & Rindi, Barbara & Werner, Ingrid M., 2013. "Sub-Penny and Queue-Jumping," Working Paper Series 2013-18, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  84. Dimpfl, Thomas & Peter, Franziska J., 2021. "Nothing but noise? Price discovery across cryptocurrency exchanges," Journal of Financial Markets, Elsevier, vol. 54(C).
  85. Anagnostidis, Panagiotis & Papachristou, George & Varsakelis, Christos, 2019. "Market quality and dark trading in the post MiFID II era: What have we learned so far?," Economics Letters, Elsevier, vol. 184(C).
  86. Jilong Chen & Liao Xu & Yang Zhao, 2020. "Do ETF flows increase market efficiency? Evidence from China," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 60(5), pages 4795-4819, December.
  87. Xu, Liao & Yin, Xiangkang & Zhao, Jing, 2019. "The sidedness and informativeness of ETF trading and the market efficiency of their underlying indexes," Pacific-Basin Finance Journal, Elsevier, vol. 58(C).
  88. Ahmed, Osama, 2021. "Assessing the current situation of the world wheat market leadership: Using the semi-parametric approach," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 9(2).
  89. Pierre Collin-Dufresne & Benjamin Junge & Anders B. Trolle, 2018. "Market Structure and Transaction Costs of Index CDSs," Swiss Finance Institute Research Paper Series 18-40, Swiss Finance Institute.
  90. Aliyev, Nihad & Huseynov, Fariz & Rzayev, Khaladdin, 2022. "Algorithmic trading and investment-to-price sensitivity," LSE Research Online Documents on Economics 118844, London School of Economics and Political Science, LSE Library.
  91. Foley, Sean & Putniņš, Tālis J., 2016. "Should we be afraid of the dark? Dark trading and market quality," Journal of Financial Economics, Elsevier, vol. 122(3), pages 456-481.
  92. Gomber, Peter & Sagade, Satchit & Theissen, Erik & Weber, Moritz Christian & Westheide, Christian, 2023. "Spoilt for choice: Determinants of market shares in fragmented equity markets," Journal of Financial Markets, Elsevier, vol. 64(C).
  93. Pham, Manh Cuong & Anderson, Heather Margot & Duong, Huu Nhan & Lajbcygier, Paul, 2020. "The effects of trade size and market depth on immediate price impact in a limit order book market," Journal of Economic Dynamics and Control, Elsevier, vol. 120(C).
  94. Xu, Liao & Xue, Mingqi & Zhang, Xuan & Zhao, Yang, 2023. "Heterogeneously informed trading and the stock market efficiency during the COVID-19 pandemic," International Review of Financial Analysis, Elsevier, vol. 87(C).
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