An Empirical Analysis of Market Segmentation on U.S. Equity Markets
研究了美国股票市场中暗池交易对市场质量的影响，发现暗池利用信息不对称分割订单流，损害了整体市场质量，但对大额交易和小盘股交易有积极作用。
We examine the impact of trading on markets partially exempt from National Market System requirements (“dark venues”) on equity-market quality. We find evidence consistent with the notion that dark venues rely on their special features to segregate order flow based on asymmetric information risk, which results in their transactions being less informed and contributing less to price discovery on the consolidated market. Except for the execution of large transactions and trading in small stocks, the effects of dark-venue order segmentation are damaging to overall market quality. Our results have important implications for the regulation of international equity markets.