Effects of Lit and Dark Market Fragmentation on Liquidity
Effects of Lit and Dark Market Fragmentation on Liquidity
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明市和暗市碎片化对流动性的影响
DOI：
10.2139/ssrn.1918473
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发表时间：
2013
期刊：
影响因子：
--
通讯作者：
Carole Gresse
中科院分区：
文献类型：
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作者：
Carole Gresse
根据来自八家证券交易所以及伦敦证券交易所和泛欧交易所上市股票的交易报告设施的数据，我研究了明市和暗市的分散性如何影响流动性。没有发现暗交易和明订单簿之间的碎片化会损害流动性。点燃碎片化改善了跨市场和本地主要交易所的价差和深度，或者在最坏的情况下不会影响它们。对于大型股票和电子交易较少的股票来说，好处更大。然而，碎片化程度较低会损害小型股票的深度。对大盘股深度的不利影响是算法交易造成的，而不是碎片化。
Based on data from eight stock exchanges and a trade reporting facility for London Stock Exchange- and Euronext-listed equities, I investigate how lit and dark market fragmentation affects liquidity. Neither dark trading nor fragmentation between lit order books is found to harm liquidity. Lit fragmentation improves spreads and depth across markets and locally on the primary exchange, or at worst does not affect them. Benefits are greater for large stocks and stocks with less electronic trading. Lit fragmentation however harms the depth of small stocks. The adverse effects on the depth of large stocks result from algorithmic trading, not fragmentation.