Liquidity Externalities and Adverse Selection: Evidence from Trading after Hours
通过分析盘后交易成本，发现交易活动减少导致买卖价差扩大至日间交易的3-4倍，反映了逆向选择和订单持续性增强，但做市商利润未增加，从而直接衡量了日间交易产生的流动性外部性规模。
ABSTRACT This paper examines liquidity externalities by analyzing trading costs after hours. There is less than 1/20 as many trades per unit time after hours as during the trading day. The reduced trading activity results in substantially higher trading costs: quoted and effective spreads are three to four times larger than during the trading day. The higher spreads reflect greater adverse selection and order persistence, but not higher dealer profits. Because liquidity provision remains competitive after hours, the greater adverse selection and higher trading costs provide a direct measure of the magnitude of the liquidity externalities generated during the trading day.