Informed Trading in Dark Pools: Fair-Access Dark Venue vs. Restricted-Access Dark Venues

IF 0.9 Q3 BUSINESS, FINANCE Quarterly Journal of Finance Pub Date : 2022-04-18 DOI:10.1142/s2010139222500033
Nguyet Nguyen
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Abstract

Prior empirical studies find that dark pools are, on average, associated with uninformed order flow. The “exemption from fair-access requirement” has been conjectured as a necessary condition for dark venues to segment uninformed order flow. This study presents direct evidence contrasting a dark venue that offers equal access to all market participants to other dark pools which have the ability to subjectively exclude order flow. Using the period leading up to surprise corporate earnings news, I document robust evidence of informed trading taking place in the fair access dark venue. I do not find such evidence in other dark venues.

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暗池中的知情交易:公平进入暗池vs.限制进入暗池
先前的实证研究发现,平均而言,暗池与不知情的订单流有关。有人推测,“公平准入豁免”是暗场分割不知情订单流的必要条件。本研究提供了直接证据,对比了一个为所有市场参与者提供平等准入的暗池和其他有能力主观上排除订单流的暗池。利用出人意料的企业盈利消息发布前的这段时间,我找到了有力的证据,证明知情交易发生在公平交易的黑暗场所。我在其他黑暗的地方找不到这样的证据。
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来源期刊
Quarterly Journal of Finance
Quarterly Journal of Finance BUSINESS, FINANCE-
CiteScore
1.10
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0.00%
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0
期刊介绍: The Quarterly Journal of Finance publishes high-quality papers in all areas of finance, including corporate finance, asset pricing, financial econometrics, international finance, macro-finance, behavioral finance, banking and financial intermediation, capital markets, risk management and insurance, derivatives, quantitative finance, corporate governance and compensation, investments and entrepreneurial finance.
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