Financial Analyst Journal, Volume 70, Issue6, 2014

暗池交易与股票市场质量

作者：Rhodri Preece (Capital Markets Policy)

Sviatoslav Rosov (Capital Markets Policy)

摘要： 股票市场的场外交易（包括经纪人/交易商内部化和暗池）近年来不断增长。对暗池交易与市场质量之间的关系的研究表明，随着暗池交易的增加，其边际收益会下降。当超过一定的门槛时，暗池交易的增加可能与恶化的市场质量相关联。该阈值的水平与暗池交易的类型和股票的市值有关。

Dark Trading and Equity Market Quality

Rhodri Preece (Capital Markets Policy), Sviatoslav Rosov (Capital Markets Policy)

ABSTRACT

Off-exchange trading in equity markets, including broker/dealer internalization and dark pools, has grown in recent years. An examination of the relationship between dark trading and market quality suggests that as dark trading increases, the marginal benefit from it declines. Beyond a certain threshold, increases in dark trading may be associated with deteriorating market quality. The level of this threshold is related to the type of dark trading and the market capitalization of the stock.

原文链接：

https://www.cfapubs.org/doi/abs/10.2469/faj.v70.n6.2

翻译：秦秀婷