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
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)
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:41:y:2015:i:c:p:101-106
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 ().