 Does off-exchange trading decrease in the presence of uncertainty?Stephen N. Jurich The Quarterly Review of Economics and Finance, 2021, vol. 81, issue C, 201-213 Abstract: Much of the trading in U.S. equities has moved to off-exchange venues. This study examines the pecking order hypothesis of trade venue selection by analyzing the amount of off-exchange trade volume in periods of uncertainty. During the sample period, there were over two billion shares per day reported to the Nasdaq TRF-Carteret, which maintained more than 29 percent of the total market share of volume in U.S. securities. The TRF-NYSE captures more market share in Nasdaq-listed securities than NYSE-listed stocks. This study also sheds light on the introduction of the Nasdaq TRF-Chicago and its ability to attract volume. Ultimately, there is evidence that the amount of off-exchange volume decreases during periods of heightened volatility. The findings are of interest to market participants, exchange officials, and regulators. Keywords: Trade volume; Volatility; Market share; Off-exchange venues; Fragmentation (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:quaeco:v:81:y:2021:i:c:p:201-213 DOI: 10.1016/j.qref.2021.05.007 Access Statistics for this article The Quarterly Review of Economics and Finance is currently edited by R. J. Arnould and J. E. Finnerty More articles in The Quarterly Review of Economics and Finance from Elsevier |
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