交易的阴影：暗交易和价格效率

IF 3.6 2区经济学 Q1 BUSINESS, FINANCE

Journal of Banking & Finance Pub Date : 2023-10-01 DOI:10.1016/j.jbankfin.2023.107004

Jared F. Egginton , Garrett A. McBrayer , Ethan D. Watson

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引用次数: 0

摘要

使用综合方法，我们研究了各种形式的未显示订单流，如交易所上的隐藏订单、经纪公司内部化和提交到场外交易场所的订单，如何影响价格效率。通过考虑交易者可以使用的多种形式的暗交易，我们能够更好地了解暗交易的细微差别及其对价格效率的影响，并缓解仅研究暗交易一个方面的研究中存在的未观察到的变量问题。我们发现，交易所的隐性订单对价格效率有着有害的影响。其他类型的交易前未显示订单对价格效率的影响更为微妙。

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Shades of trade: Dark trading and price efficiency

Using a comprehensive approach, we investigate how various forms of non-displayed order flow such as hidden orders on exchanges, brokerage internalizations, and orders submitted to off-exchange venues affects price efficiency. By considering the multiple forms of dark trading available to traders, we are able to better understand the nuances of dark trading, its impacts on price efficiency, and mitigate the unobserved variable problems present in studies that examine only one aspect of dark trading. We find that hidden orders on exchange have a deleterious impact on price efficiency. The impacts of other types of pre-trade, non-displayed orders on price efficiency is more nuanced.

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来源期刊

Journal of Banking & Finance Multiple-

CiteScore

6.40

自引率

5.40%

发文量

262

期刊介绍： The Journal of Banking and Finance (JBF) publishes theoretical and empirical research papers spanning all the major research fields in finance and banking. The aim of the Journal of Banking and Finance is to provide an outlet for the increasing flow of scholarly research concerning financial institutions and the money and capital markets within which they function. The Journal''s emphasis is on theoretical developments and their implementation, empirical, applied, and policy-oriented research in banking and other domestic and international financial institutions and markets. The Journal''s purpose is to improve communications between, and within, the academic and other research communities and policymakers and operational decision makers at financial institutions - private and public, national and international, and their regulators. The Journal is one of the largest Finance journals, with approximately 1500 new submissions per year, mainly in the following areas: Asset Management; Asset Pricing; Banking (Efficiency, Regulation, Risk Management, Solvency); Behavioural Finance; Capital Structure; Corporate Finance; Corporate Governance; Derivative Pricing and Hedging; Distribution Forecasting with Financial Applications; Entrepreneurial Finance; Empirical Finance; Financial Economics; Financial Markets (Alternative, Bonds, Currency, Commodity, Derivatives, Equity, Energy, Real Estate); FinTech; Fund Management; General Equilibrium Models; High-Frequency Trading; Intermediation; International Finance; Hedge Funds; Investments; Liquidity; Market Efficiency; Market Microstructure; Mergers and Acquisitions; Networks; Performance Analysis; Political Risk; Portfolio Optimization; Regulation of Financial Markets and Institutions; Risk Management and Analysis; Systemic Risk; Term Structure Models; Venture Capital.