禁止暗池:地点选择和投资者交易成本

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE

Journal of Financial Markets Pub Date : 2023-09-01 DOI:10.1016/j.finmar.2023.100831

Christian Neumeier , Arie Gozluklu , Peter Hoffmann , Peter O’Neill , Felix Suntheim

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引用次数: 4

摘要

我们使用来自英国股票市场机构交易执行的专有交易级别数据来分析交易成本和地点选择之间的关系。我们表明，对于给定的投资者，较高的暗交易份额(中点暗池)与较低的执行成本相关。在最近禁止暗交易的背景下，我们提供了与向替代交易场所(如定期拍卖)迁移相一致的证据，这减轻了对大型投资者交易成本的不利影响。我们还提供了Menkveld等人(2017)关于大型母订单生命周期中地点选择的啄食顺序理论的微观证据。

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Banning dark pools: Venue selection and investor trading costs

We analyze the relation between transaction costs and venue choice using proprietary transaction-level data from institutional trade executions in the U.K. equity market. We show that, for a given investor, a higher share of dark trading (midpoint dark pools) is associated with lower execution costs. In the context of a recent ban on dark trading, we provide evidence consistent with migration towards substitute trading venues such as periodic auctions, which has mitigated adverse effects on trading costs for large investors. We also provide micro-evidence on Menkveld et al.’s (2017) pecking order theory of venue choice over the life-cycle of large parent orders.

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来源期刊

Journal of Financial Markets BUSINESS, FINANCE-

CiteScore

3.40

自引率

3.60%

发文量

期刊介绍： The Journal of Financial Markets publishes high quality original research on applied and theoretical issues related to securities trading and pricing. Area of coverage includes the analysis and design of trading mechanisms, optimal order placement strategies, the role of information in securities markets, financial intermediation as it relates to securities investments - for example, the structure of brokerage and mutual fund industries, and analyses of short and long run horizon price behaviour. The journal strives to maintain a balance between theoretical and empirical work, and aims to provide prompt and constructive reviews to paper submitters.