Why do traders choose dark markets?
Why do traders choose dark markets?
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交易者为何选择暗市？
DOI：
10.1016/j.jbankfin.2016.02.011
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发表时间：
2016-07-01
影响因子：
3.7
通讯作者：
Wu, Fei
中科院分区：
文献类型：
--
作者：
Garvey, Ryan;Huang, Tao;Wu, Fei
我们研究了美国股票交易员对暗市和明市的使用情况。在暗处执行的适价订单信息含量较低，成交率也较小。暗单执行时间较长，但执行价格更优惠。当买卖差价较大时，交易者更有可能进行暗盘交易，而那些暗盘参与度较高的交易者也更加成熟。尽管市场监管机构对暗盘交易的增加表示担忧，但我们的研究结果表明，暗盘市场为交易者提供了光明市场所没有的重要利益。 (C) 2016 Elsevier B.V. 保留所有权利。
We examine U.S. equity trader use of dark and lit markets. Marketable orders executed in the dark have lower information content and smaller fill rates. Dark orders take longer to execute, but they execute at more favorable prices. Traders are more likely to go dark when the bid-ask spread is wider and those with higher dark participation are more sophisticated. Although market regulators have expressed concern over the rise in dark trading, our results indicate that dark markets provide important benefits to traders that lit markets do not. (C) 2016 Elsevier B.V. All rights reserved.