Sunshine trading: Flashes of trading intent at the NASDAQ

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.

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Year of publication:	2011-12-15
Authors:	Skjeltorp, Johannes A. ; Sojli, Elvira ; Tham, Wing Wah
Institutions:	Norges Bank
Subject:	Actionable Indication of Interest (IOI) \| Flash orders \| High-frequency Trading \| Market quality \| Market transparency \| Sunshine trading

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Series:	Working Paper.
Type of publication:	Book / Working Paper
Notes:	Number 2011/17 59 pages
Classification:	G10 - General Financial Markets. General ; G20 - Financial Institutions and Services. General ; G14 - Information and Market Efficiency; Event Studies
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009390652