Spillover effects between lit and dark stock markets: Evidence from a panel of London Stock Exchange transactions

Apergis, Nicholas and Voliotis, Dimitrios (2015) Spillover effects between lit and dark stock markets: Evidence from a panel of London Stock Exchange transactions. International Review of Financial Analysis, 41. pp. 101-106. ISSN 1057-5219

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Official URL: http://dx.doi.org/10.1016/j.irfa.2015.06.002

Abstract

A characteristic of today's equity markets is the fraction of trading that occurs in the dark (i.e., outside of regular and visible order books). This study extends investigation of the relationship between transactions that occurred in visible stock markets and those that occurred in dark stock markets. In particular, the study evaluates the quantitative impact of dark trading on the lit London stock market between January 2001 and December 2013. We find that dark trading has a substantial effect on both prices and liquidity in the lit market, counseling for regulation that protects ordinary investors participating in lit stock markets.

Item Type: Article
Additional Information: Published online 12-6-2015
Uncontrolled Keywords: Dark and lit stock markets; Panel firm data; London stock market
Subjects: L100 Economics
N300 Finance
Department: Faculties > Business and Law > Newcastle Business School > Accounting and Finance
Depositing User: Paul Burns
Date Deposited: 20 Jul 2015 13:55
Last Modified: 12 Dec 2016 03:30
URI: http://nrl.northumbria.ac.uk/id/eprint/23395

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