{"title":"除息交易在哪里进行？围绕股息的交易场所研究","authors":"Justin Cox, Kathleen P. Fuller, Robert Van Ness","doi":"10.1111/fire.12362","DOIUrl":null,"url":null,"abstract":"<p>We examine the fragmentation of trading around the ex-dividend date. We argue that the taker-maker and dark trading venues provide potential dividend capture traders a more favorable platform than the maker-taker venue(s) given the price improvement, lower queues, and lower net transaction costs. Our evidence indicates that taker-maker (dark) venue market share decreases (increases) on cum-dividend days but reverts to normal levels on the ex-dividend day. Additionally, we find fragmented trading impacts the ex-dividend price change and improves price efficiency. Finally, we find evidence that retail trades are associated with potential dividend-capture trading.</p>","PeriodicalId":47617,"journal":{"name":"FINANCIAL REVIEW","volume":"59 1","pages":"31-55"},"PeriodicalIF":2.6000,"publicationDate":"2023-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Where does ex-dividend trading occur: An examination of trading venues around dividends\",\"authors\":\"Justin Cox, Kathleen P. Fuller, Robert Van Ness\",\"doi\":\"10.1111/fire.12362\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<p>We examine the fragmentation of trading around the ex-dividend date. We argue that the taker-maker and dark trading venues provide potential dividend capture traders a more favorable platform than the maker-taker venue(s) given the price improvement, lower queues, and lower net transaction costs. Our evidence indicates that taker-maker (dark) venue market share decreases (increases) on cum-dividend days but reverts to normal levels on the ex-dividend day. Additionally, we find fragmented trading impacts the ex-dividend price change and improves price efficiency. Finally, we find evidence that retail trades are associated with potential dividend-capture trading.</p>\",\"PeriodicalId\":47617,\"journal\":{\"name\":\"FINANCIAL REVIEW\",\"volume\":\"59 1\",\"pages\":\"31-55\"},\"PeriodicalIF\":2.6000,\"publicationDate\":\"2023-08-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"FINANCIAL REVIEW\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://onlinelibrary.wiley.com/doi/10.1111/fire.12362\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"FINANCIAL REVIEW","FirstCategoryId":"1085","ListUrlMain":"https://onlinelibrary.wiley.com/doi/10.1111/fire.12362","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
Where does ex-dividend trading occur: An examination of trading venues around dividends
We examine the fragmentation of trading around the ex-dividend date. We argue that the taker-maker and dark trading venues provide potential dividend capture traders a more favorable platform than the maker-taker venue(s) given the price improvement, lower queues, and lower net transaction costs. Our evidence indicates that taker-maker (dark) venue market share decreases (increases) on cum-dividend days but reverts to normal levels on the ex-dividend day. Additionally, we find fragmented trading impacts the ex-dividend price change and improves price efficiency. Finally, we find evidence that retail trades are associated with potential dividend-capture trading.
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