Volatility and dark trading: evidence from the Covid-19 pandemic*,**

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dc.contributor.authorid0000-0002-5531-3616
dc.contributor.coauthorIbikunle, Gbenga
dc.contributor.departmentDepartment of Business Administration
dc.contributor.kuauthorRzayev, Khaladdin
dc.contributor.kuprofileFaculty Member
dc.contributor.schoolcollegeinstituteCollege of Administrative Sciences and Economics
dc.contributor.yokid317105
dc.date.accessioned2025-01-19T10:34:00Z
dc.date.issued2023
dc.description.abstractWe study the effect(s) of volatility on the share of trading in dark pools by exploiting the exogenous shock of the Covid-19 pandemic on financial markets and regulatory restrictions on dark trading. We find that high levels of volatility in lit exchanges is linked to an economically significant loss of market share by dark pools to lit exchanges. In line with the theory, the loss appears to be driven by informed traders' migration from lit to dark markets during high volatility periods. The market quality implications of the trading dynamics are mixed: while it tempers liquidity decline in the lit market, it exacerbates the loss of informational efficiency.
dc.description.indexedbyWoS
dc.description.indexedbyScopus
dc.description.issue4
dc.description.openaccesshybrid, Green Published
dc.description.publisherscopeInternational
dc.description.sponsors* For helpful comments, we are grateful to Panagiotis Anagnostidis, Fousseni Chabi-Yo, Jens Hagendorff, Loriana Pelizzon, Talis Putnins, Katia Vozian, Marius Zoican, the participants at the SAFE centre virtual meeting under the ATLANTIS project, the September 4th, 2020 Finance Seminar at La Trobe University, Melbourne and colleagues at the University of Edinburgh. This paper was previously circulated under the title "Volatility, dark trading and market quality: evidence from the 2020 COVID-19 pandemic-driven market volatility."** Rzayev gratefully acknowledges the support of the Trans-Atlantic Platform by the Economic and Social Research Council (ESRC) [grant number ES/R004021/1] .
dc.description.volume55
dc.identifier.doi10.1016/j.bar.2022.101171
dc.identifier.eissn1095-8347
dc.identifier.issn0890-8389
dc.identifier.quartileQ1
dc.identifier.scopus2-s2.0-85148768187
dc.identifier.urihttps://doi.org/10.1016/j.bar.2022.101171
dc.identifier.urihttps://hdl.handle.net/20.500.14288/26706
dc.identifier.wos1031687200001
dc.keywordsCovid-19
dc.keywordsDark pools
dc.keywordsVenue selection
dc.keywordsLiquidity
dc.keywordsMarket quality
dc.languageen
dc.publisherElsevier Sci Ltd
dc.relation.grantnoEconomic and Social Research Council (ESRC) [ES/R004021/1]
dc.sourceBritish Accounting Review
dc.subjectBusiness
dc.subjectFinance
dc.titleVolatility and dark trading: evidence from the Covid-19 pandemic*,**
dc.typeJournal Article

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