Volatility and dark trading: Evidence from the Covid-19 pandemic
利用新冠疫情对金融市场的冲击，研究了高波动性如何导致暗池交易份额下降，并分析了其对市场流动性和信息效率的影响。
We 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.