Non-positive spreads and trading venue halts: Are investors harmed?

Charles Favreau and Ryan Garvey

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

Abstract: Locked and crossed quotations in U.S. equity markets have, surprisingly, increased in number since their 2007 prohibition. In 2019, there are 260 million occurrences where the National Best Bid is equal to, or greater than, the National Best Offer. Although non-positive spreads clear quickly, their presence can still harm investors. When the bid–ask spread changes from positive to non-positive, many dark markets suspend trading, which results in a decrease in the percentage of dark trades. Dark markets often match trades at/within the spread, so the decline in dark trading coincides with more trading outside of best market prices.

Keywords: Market microstructure; Market regulation; Market quality; Dark trading (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612321003706
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:finlet:v:46:y:2022:i:pa:s1544612321003706

DOI: 10.1016/j.frl.2021.102368

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().