Determinants of Price Discovery: Dark Trading and Price Improvement
| Autor: | Drew Harris, Frederick H. deB. Harris |
|---|---|
| Rok vydání: | 2016 |
| Předmět: |
040101 forestry
050208 finance Notice 05 social sciences Context (language use) 04 agricultural and veterinary sciences General Medicine Monetary economics Investment (macroeconomics) computer.software_genre Price discovery Transactional leadership 0502 economics and business Order book Economics 0401 agriculture forestry and fisheries Dark liquidity Algorithmic trading computer Industrial organization |
| Zdroj: | The Journal of Trading. 12:55-72 |
| ISSN: | 2168-8427 1559-3967 |
| DOI: | 10.3905/jot.2017.12.1.055 |
| Popis: | What role does dark trading play in price dynamics? The authors estimate the permanent information that dark trading contributes as well as the effect of the Investment Industry Regulatory Organization of Canada (IIROC) Notice 12-0130, which mandated price improvement on dark trades. The analysis provides context and a comparative perspective by assessing informational dynamics between Canadian and U.S. cross-listed securities. Dark trading contributes very little permanent information in Canada—only a 7.1% information leadership share. Post–IIROC Notice 12-0130, the authors find a reduction in the information content of dark trades after controlling for the effects of order book quality, informational asymmetry, and transactional efficiency. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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