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.

MoreLess

Year of publication:	2011
Authors:	Skjeltorp, Johannes A. ; Sojli, Elvira ; Tham, Wing Wah
Publisher:	Oslo : Norges Bank
Subject:	IOI \| actionable indication of interest \| flash orders \| high frequency trading \| market quality \| market transparency \| sunshine trading

More details

Series:	Working Paper ; 2011/17
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
ISBN:	978-82-7553-633-2
Other identifiers:	682039055 [GVK] hdl:10419/209993 [Handle] hdl:11250/2496942 [Handle] RePEc:bno:worpap:2011_17 [RePEc]
Classification:	G10 - General Financial Markets. General ; G20 - Financial Institutions and Services. General ; G14 - Information and Market Efficiency; Event Studies
Source:	EconStor

Persistent link: https://www.econbiz.de/10012143782