COVID-19: Venue Selection Effects and Implications for Market Quality
COVID-19: Venue Selection Effects and Implications for Market Quality
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DOI：
10.2139/ssrn.3586410
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发表时间：
2020-04
期刊：
影响因子：
--
通讯作者：
Gbenga Ibikunle;Khaladdin Rzayev
中科院分区：
文献类型：
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作者：
Gbenga Ibikunle;Khaladdin Rzayev
我们研究了新冠肺炎引发的金融市场冲击对总场地选择/市场份额和市场质量的影响。我们发现，这种冲击与黑池向灯火交易所流失市场份额在经济上的重大损失有关。与理论相符的是，亏损似乎是由市场波动加剧，以及活跃于拥有暗交易渠道的股票的交易员寻求即时性造成的。暗盘交易减少对市场质量的影响喜忧参半：虽然它缓和了与covid -19相关的现货市场流动性下降，但它加剧了信息效率的丧失。
We investigate the effects of the COVID-19-induced shock in financial markets on aggregate venue selection/market share and market quality. We find that the shock is linked with an economically significant loss of market share by dark pools to lit exchanges. In line with theory, the loss appears driven by an increase in lit market volatility and a search for immediacy by traders active in stocks with dark trading access. The market quality implications of the reduction in dark trading are mixed: while it tempers COVID-19-linked liquidity decline in the lit market, it exacerbates the loss of informational efficiency.