Island goes dark: Transparency, fragmentation, and regulation
Island goes dark: Transparency, fragmentation, and regulation
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DOI：
10.1093/rfs/hhi013
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发表时间：
2005-09-01
影响因子：
8.2
通讯作者：
Jones, CM
中科院分区：
文献类型：
--
作者：
Hendershott, T;Jones, CM
作为对2002年9月监管执法的回应，岛屿电子通信网络停止在其占主导地位的三个最活跃的交易所交易基金（ETF）中显示其限价订单簿。岛屿的交易活动和价格发现的份额下降，分散了市场。当岛屿变暗时，ETF价格调整得更慢，从ETF到期货市场的价格发现运动也很大。交易成本在岛上增加，在岛外减少，总体交易成本较高。当Island后来重新显示其订单时，市场质量有所改善，透明度和减少碎片化都发挥了重要作用。
Responding to a September 2002 regulatory enforcement, the Island electronic communications network stopped displaying its limit order book in the three most active exchange-traded funds (ETFs) where it was the dominant venue. Island's share of trading activity and price discovery fell, fragmenting the market. ETF prices adjust more slowly when Island goes dark, and there is substantial price discovery movement from ETFs to the futures market. Trading costs increase on Island and decrease off Island, with higher trading costs overall. When Island later redisplays its orders, market quality improves, with transparency and the reduction in fragmentation both playing important roles.