Spillover effects between lit and dark stock markets: Evidence from a panel of London Stock Exchange transactions

Nicholas Apergis () and Dimitrios Voliotis ()

International Review of Financial Analysis, 2015, vol. 41, issue C, 101-106

Abstract: A characteristic of today's equity markets is the fraction of trading that occurs in the dark (i.e., outside of regular and visible order books). This study extends investigation of the relationship between transactions that occurred in visible stock markets and those that occurred in dark stock markets. In particular, the study evaluates the quantitative impact of dark trading on the lit London stock market between January 2001 and December 2013. We find that dark trading has a substantial effect on both prices and liquidity in the lit market, counseling for regulation that protects ordinary investors participating in lit stock markets.

Keywords: Dark and lit stock markets; Panel firm data; London stock market (search for similar items in EconPapers)
JEL-codes: G12 G28 (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:41:y:2015:i:c:p:101-106

DOI: 10.1016/j.irfa.2015.06.002

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