City goes dark: Dark trading and adverse selection in aggregate markets
نویسندگان
چکیده
We investigate the impact of dark trading on adverse selection in an aggregate market for UK stocks. Dark is linked to lower risk and improved informational efficiency liquidity market, even as declines lit with trading. However, there a value-based threshold when starts induce selection. estimate that this varies from around 9% most liquid stocks 25% least The overall average 288 FTSE 350 our sample 14%.
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ژورنال
عنوان ژورنال: Journal of Empirical Finance
سال: 2021
ISSN: ['0927-5398', '1879-1727']
DOI: https://doi.org/10.1016/j.jempfin.2021.08.002