Diving into Dark Pools

Sabrina Buti, Barbara Rindi and Ingrid M. Werner
Additional contact information
Sabrina Buti: Université Paris Dauphine
Barbara Rindi: Bocconi University and IGIER and Baffi Carefin
Ingrid M. Werner: Ohio State University - Fisher College of Business

Working Paper Series from Ohio State University, Charles A. Dice Center for Research in Financial Economics

Abstract: We study 2009 and 2020 dark trading for U.S. stocks. Dark trading is lower when volume is low, volatility high, and in periods of markets stress. Dark pools are more active for large caps, while internalization is more common for small caps. Traders use dark pools to jump the queue for large caps in 2009, and to avoid crossing the spread for small caps in both years. Internalization is higher when spreads are wide and depth is high. Dark pool trading improves spreads in 2009, but worsens market quality for large caps in 2020. We discuss explanations for the change.

JEL-codes: G10 G12 G14 G18 G20 (search for similar items in EconPapers)
Date: 2022-02
New Economics Papers: this item is included in nep-mst
References: Add references at CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1630499

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:ecl:ohidic:2022-01

Access Statistics for this paper

More papers in Working Paper Series from Ohio State University, Charles A. Dice Center for Research in Financial Economics Contact information at EDIRC.
Bibliographic data for series maintained by ().