跳入黑池

IF 2.9 3区经济学 Q2 BUSINESS, FINANCE

Financial Management Pub Date : 2022-03-28 DOI:10.1111/fima.12395

Sabrina Buti, Barbara Rindi, Ingrid M. Werner

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引用次数: 0

摘要

我们研究了2009年和2020年美国股市的暗交易。当交易量低、波动性高和市场压力大时，暗交易就会减少。黑池对大盘股更为活跃，而内部化对小盘股更为常见。2009年，交易员利用暗池插队买入大盘股，并在这两年避免越过小盘股的价差。当利差宽且深度高时，内部化会更高。暗池交易在2009年改善了价差，但在2020年恶化了大盘股的市场质量。我们讨论对变化的解释。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

Diving into dark pools

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Diving into dark pools

We study 2009 and 2020 dark trading for U.S. stocks. Dark trading is lower when volume is low, volatility high, and in periods of markets stress. Dark pools are more active for large caps, while internalization is more common for small caps. Traders use dark pools to jump the queue for large caps in 2009, and to avoid crossing the spread for small caps in both years. Internalization is higher when spreads are wide and depth is high. Dark pool trading improves spreads in 2009, but worsens market quality for large caps in 2020. We discuss explanations for the change.

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来源期刊

Financial Management BUSINESS, FINANCE-

CiteScore

6.00

自引率

0.00%

发文量

期刊介绍： Financial Management (FM) serves both academics and practitioners concerned with the financial management of nonfinancial businesses, financial institutions, and public or private not-for-profit organizations.