Sunshine Trading: Flashes of Trading Intent at the Nasdaq

Arbeitspapier

We use the introduction and the subsequent removal of the flash order facility (an actionable indication of interest, IOI) from Nasdaq as a natural experiment to investigate the impact of voluntary disclosure of trading intent on market quality. We find that flash orders significantly improve liquidity in Nasdaq. In addition overall market quality improves substantially when the flash functionality is introduced and deteriorates when it is removed.

Angaben zum Objekt

• ISBN: 978-82-7553-633-2
• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Working Paper ; No. 2011/17

Klassifikation und Themen

• Klassifikation: Wirtschaft ; General Financial Markets: General (includes Measurement and Data) ; Financial Institutions and Services: General ; Information and Market Efficiency; Event Studies; Insider Trading
• Thema: IOI ; actionable indication of interest ; flash orders ; high frequency trading ; market quality ; market transparency ; sunshine trading

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Skjeltorp, Johannes A. ; Sojli, Elvira ; Tham, Wing Wah
• Ereignis: Veröffentlichung
• (wer): Norges Bank
• (wo): Oslo
• (wann): 2011

Weitere Informationen

• Handle: http://hdl.handle.net/10419/209993
• Letzte Aktualisierung: 10.03.2025, 11:44 MEZ