EconPapers    
Economics at your fingertips  
 

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
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1057521915001222
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

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

Access Statistics for this article

International Review of Financial Analysis is currently edited by B.M. Lucey

More articles in International Review of Financial Analysis from Elsevier
Bibliographic data for series maintained by Nithya Sathishkumar ().

 
Page updated 2021-04-12
Handle: RePEc:eee:finana:v:41:y:2015:i:c:p:101-106