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Diving into Dark Pools

Listed author(s):
  • Buti, Sabrina

    (University of Toronto)

  • Rindi, Barbara

    (IGIER and Carefin)

  • Werner, Ingrid M.

    (Ohio State University)

This paper examines unique data on dark pool activity for a large cross-section of US stocks in 2009. Dark pool activity is concentrated in large firms, stocks with high share volume, high price, low spreads, high depth, and low short-term volatility. NASDAQ (AMEX) stocks have significantly higher (lower) dark pool activity than NYSE stocks controlling for size, share volume, and price. For a given stock, dark pool activity is significantly higher on days with higher share volume, higher depth, and lower intraday volatility. Dark pool activity is significantly lower for days with larger order imbalances relative to share volume and larger absolute returns. We find no evidence supporting the hypothesis that dark pool activity has a detrimental effect on market quality.

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Paper provided by Ohio State University, Charles A. Dice Center for Research in Financial Economics in its series Working Paper Series with number 2010-10.

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Date of creation: Jun 2010
Handle: RePEc:ecl:ohidic:2010-10
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