From upstairs to downstairs trading: Evidence from a highly segmented market

Jędrzej Białkowski, Sanghyun Hong and Moritz Wagner ()

Finance Research Letters, 2022, vol. 46, issue PB

Abstract: Using data on more than 18 million trades, this paper examines the information content of trades in a highly segmented market that until recently had no restrictions on trading outside the central limit order book (LOB). Consistent with theoretical predictions and earlier findings, we largely confirm that the permanent price effect is significantly lower in the upstairs market than downstairs. Furthermore, we find that a newly implemented minimum size requirement for trades in the upstairs market works as intended by the market provider. However, trades that are exempt from this requirement and small, informed institutional trades carry more information content in the upstairs market.

Keywords: Upstairs market; Price effect; Information effect; Limit order book (LOB) (search for similar items in EconPapers)
JEL-codes: G10 G12 G14 G15 (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:46:y:2022:i:pb:s1544612321004839

DOI: 10.1016/j.frl.2021.102518

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