Journal article
Regulating dark trading: Order flow segmentation and market quality
Abstract
We examine the impact of a rule in the Canadian equities market that requires dark orders to offer price improvement over displayed orders. We show that this rule eliminated intermediation of retail orders in the dark and shifted retail orders onto the lit market with the lowest trading fee. Intermediaries shifted liquidity supply to this market leading to increased displayed liquidity. We conclude that reducing retail order segmentation …
Authors
Comerton-Forde C; Malinova K; Park A
Journal
Journal of Financial Economics, Vol. 130, No. 2, pp. 347–366
Publisher
Elsevier
Publication Date
November 2018
DOI
10.1016/j.jfineco.2018.07.002
ISSN
0304-405X