Dark trading and financial markets stability
- This paper examines how the implementation of a new dark order - Midpoint Extended Life Order on NASDAQ - impacts financial markets stability in terms of occurrences of mini-flash crashes in individual securities. We use high-frequency order book data and apply panel regression analysis to estimate the effect of M-ELO trading on market stability and liquidity provision. The results suggest a predominance of a speed bump effect of M-ELO rather than a darkness effect. We find that the introduction of M-ELO increases market stability by reducing the average number of mini-flash crashes, but its impact on market quality is mixed.
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| Verfasserangaben: | Jorge GonçalvesGND, Roman KräusslORCiDGND, Vladimir Levin |
|---|---|
| URN: | urn:nbn:de:hebis:30:3-681471 |
| URL: | https://ssrn.com/abstract=3384719 |
| DOI: | https://doi.org/10.2139/ssrn.3384719 |
| Schriftenreihe (Bandnummer): | CFS working paper series (No. 691) |
| Verlag: | Center for Financial Studies |
| Verlagsort: | Frankfurt, M. |
| Dokumentart: | Arbeitspapier |
| Sprache: | Englisch |
| Datum der Veröffentlichung (online): | 21.02.2023 |
| Datum der Erstveröffentlichung: | 21.02.2023 |
| Veröffentlichende Institution: | Universitätsbibliothek Johann Christian Senckenberg |
| Datum der Freischaltung: | 27.02.2023 |
| Freies Schlagwort / Tag: | Market microstructure; dark trading; financial market stability; investor protection; mini-flash crash; speed bump |
| Seitenzahl: | 50 |
| Bemerkung: | This work was supported by the Luxembourg National Research Fund. |
| Institute: | Wirtschaftswissenschaften / Wirtschaftswissenschaften |
| Wissenschaftliche Zentren und koordinierte Programme / Center for Financial Studies (CFS) | |
| DDC-Klassifikation: | 3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft |
| JEL-Klassifikation: | G Financial Economics / G1 General Financial Markets / G10 General |
| G Financial Economics / G1 General Financial Markets / G14 Information and Market Efficiency; Event Studies | |
| Sammlungen: | Universitätspublikationen |
| Lizenz (Deutsch): |  Deutsches Urheberrecht |
