Effects of lit and dark market fragmentation on liquidity

Gresse, Carole

doi:10.1016/j.finmar.2017.05.003

Cited by 69 publications

(52 citation statements)

References 29 publications

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“…With respect to off-book volume, the two papers disagree. While Degryse et al (2015) report that an increase in off-book volume has negative implications, Gresse (2016) concludes that both quoted spreads and depth increase, but that the combined effect on effective spreads is neutral. Hendershott and Jones (2005) analyze an episode of slightly more than a year during which the Island ECN chose to stop displaying quotes for three actively traded ETFs.…”

Section: Related Literaturementioning

confidence: 97%

“…She attributes this positive effect to risk-sharing benefits from trading in the crossing network. Degryse et al (2015) and Gresse (2016) differentiate between fragmentation across lit and dark markets and conclude that fragmentation across lit markets has positive effects on market quality. With respect to off-book volume, the two papers disagree.…”

Section: Related Literaturementioning

confidence: 99%

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Spoilt for Choice: Order Routing Decisions in Fragmented Equity Markets

et al. 2016

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The equity trading landscape all over the world has changed dramatically in recent years. We have witnessed the advent of new trading venues and significant changes in the market shares of existing ones. We use an extensive panel dataset from the European equity markets to analyze the market shares of five categories of lit and dark trading mechanisms. Market design features, such as minimum tick size, immediacy and anonymity; market conditions, such as liquidity and volatility; and the informational environment have distinct implications for order routing decisions and trading venues' resulting market shares. Furthermore, these implications differ distinctly for small and large trades, probably because traders jointly optimize their trade size and venue choice. Our results both confirm and go beyond current theoretical predictions on trading in fragmented markets.

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Section: Related Literaturementioning

confidence: 97%

Section: Related Literaturementioning

confidence: 99%

Spoilt for Choice: Order Routing Decisions in Fragmented Equity Markets

et al. 2016

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“…In addition, it is also the case the removing or canceling an order from the DLOB is also not visible to the outside world. See discussions on such venues in Degryse et al (2009) and Gresse (2015).…”

Section: Dark (Hidden) Limit Order Bookmentioning

confidence: 99%

AuditChain: A Trading Audit Platform Over Blockchain

Vishnia

Peters

2020

Front. Blockchain

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A blockchain architecture and solution is proposed to audit processing under exchange regulation for trading activity of exchanges. A particular focus is made on dark pools and periodic auctions. An architecture of the solution is described conceptually and an implementation of the proposed solution is made in .NET framework in C# via a RESTful API for chain interaction with the periodic auction venue. The framework proof of concept is tested for different efficiency and latency considerations. This opens the concept to significantly more detailed and extensive developments.

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“…In the context of the introduction of the hybrid market by the New York Stock Exchange, Hendershott and Moulton (2011) noted that the increased automation resulted in a reduction of order execution time but increased the spread. Gresse (2017) concluded that liquidity may be sensitive to competition between multiple-trading venues and the degree of algorithmic trading.…”

Section: Trading Activity Influencersmentioning

confidence: 99%

The determinants of securities trading activity: evidence from four European equity markets

Camilleri

Galea²

2019

JCMS

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Purpose The purpose of this paper is to obtain new empirical evidence about the connections between equity trading activity and five possible liquidity determinants: market capitalisation, dividend yield, earnings yield, company growth and the distinction between recently listed firms as opposed to more established ones. Design/methodology/approach The authors use a sample of 172 stocks from four European markets and estimate models using the entire sample data and different sub-samples to check the relative importance of the above determinants. The authors also conduct a factor analysis to re-classify the variables into a more succinct framework. Findings The evidence suggests that market capitalisation is the most important trading activity determinant, and the number of years listed ranks thereafter. Research limitations/implications The positive relation between trading activity and market capitalisation is in line with prior literature, while the findings relating to the other determinants offer further empirical evidence which is a worthy addition in view of the contradictory results in prior research. Practical implications This study is of relevance to practitioners who would like to understand the cross-sectional variation in stock liquidity at a more detailed level. Originality/value The originality of the paper rests on two important grounds: the authors focus on trading turnover rather than on other liquidity proxies, since the former is accepted as an important determinant of the liquidity-generation process, and the authors adopt a rigorous approach towards checking the robustness of the results by considering various sub-sample configurations.

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Effects of lit and dark market fragmentation on liquidity

Cited by 69 publications

References 29 publications

Spoilt for Choice: Order Routing Decisions in Fragmented Equity Markets

Spoilt for Choice: Order Routing Decisions in Fragmented Equity Markets

AuditChain: A Trading Audit Platform Over Blockchain

The determinants of securities trading activity: evidence from four European equity markets

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