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Spillover effects between lit and dark stock markets: Evidence from a panel of London Stock Exchange transactions

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  • Apergis, Nicholas
  • Voliotis, Dimitrios

Abstract

A characteristic of today's equity markets is the fraction of trading that occurs in the dark (i.e., outside of regular and visible order books). This study extends investigation of the relationship between transactions that occurred in visible stock markets and those that occurred in dark stock markets. In particular, the study evaluates the quantitative impact of dark trading on the lit London stock market between January 2001 and December 2013. We find that dark trading has a substantial effect on both prices and liquidity in the lit market, counseling for regulation that protects ordinary investors participating in lit stock markets.

Suggested Citation

  • 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.
    • Handle: RePEc:eee:finana:v:41:y:2015:i:c:p:101-106
    DOI: 10.1016/j.irfa.2015.06.002
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    More about this item

    Keywords

    Dark and lit stock markets; Panel firm data; London stock market;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

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