The impact of reporting changes on hidden liquidity: Evidence from the Chicago stock exchange

Justin S. Cox

Global Finance Journal, 2022, vol. 53, issue C

Abstract: This paper analyzes the NYSE Chicago's move to the Pillar integrated trading platform in November 2019. Following the move to Pillar, reported trading volume increases significantly for both equities and exchange traded funds (ETFs). The increase in trading volume and volume share in the NYSE Chicago is largely driven by trades against hidden liquidity. This increase in hidden liquidity is economically significant and is largely determined by the reporting of qualified contingent trades, QCTs. Although these trades were reported in the NYSE's Daily Trades and Quotes (DTAQ) files, these trades were not reported to the SEC's MIDAS database until to the move to Pillar. This paper shows the cross trade volume in the CHX comprises a significant amount of hidden volume in the U.S.

Keywords: Chicago stock exchange; Hidden liquidity; Cross trades (search for similar items in EconPapers)
JEL-codes: G14 G18 (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/S1044028322000424
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:glofin:v:53:y:2022:i:c:s1044028322000424

DOI: 10.1016/j.gfj.2022.100740

Access Statistics for this article

Global Finance Journal is currently edited by Manuchehr Shahrokhi

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