Arbeitspapier
Dark trading and financial markets stability
This paper examines how the implementation of a new dark order - Midpoint Extended Life Order on NASDAQ - impacts financial markets stability in terms of occurrences of mini-flash crashes in individual securities. We use high-frequency order book data and apply panel regression analysis to estimate the effect of M-ELO trading on market stability and liquidity provision. The results suggest a predominance of a speed bump effect of M-ELO rather than a darkness effect. We find that the introduction of M-ELO increases market stability by reducing the average number of mini-flash crashes, but its impact on market quality is mixed.
- Sprache
-
Englisch
- Erschienen in
-
Series: CFS Working Paper Series ; No. 691
- Klassifikation
-
Wirtschaft
General Financial Markets: General (includes Measurement and Data)
Information and Market Efficiency; Event Studies; Insider Trading
- Thema
-
Market microstructure
financial market stability
mini-flash crash
dark trading
speed bump
investor protection
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Gonçalves, Jorge
Kräussl, Roman
Levin, Vladimir
- Ereignis
-
Veröffentlichung
- (wer)
-
Goethe University Frankfurt, Center for Financial Studies (CFS)
- (wo)
-
Frankfurt a. M.
- (wann)
-
2023
- Handle
- URN
-
urn:nbn:de:hebis:30:3-681471
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Gonçalves, Jorge
- Kräussl, Roman
- Levin, Vladimir
- Goethe University Frankfurt, Center for Financial Studies (CFS)
Entstanden
- 2023
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