Island Goes Dark: Transparency, Fragmentation, and Regulation

By Terrence Hendershott, Charles M. Jones. 2005

249 citations recorded by the source corpus.

Subfields: Accounting, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/e2525b62d4b7a63f70eec292c6fa650bf5e78b12

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Citations in the corpus

Dark Trading and Price Discovery (2015, background): “Hendershott and Jones (2005) examine trading in three exchange-traded funds (ETFs) and find that when the Island Electronic Communication Network (ECN) suspends the display of the limit order book, overall trading costs increase and price discovery deteriorates.”
Technology and Liquidity Provision: The Blurring of Traditional Definitions (2009, unknown): “Hendershott and Jones (2004) consider changes in Island’s market quality in exchange-traded funds”
Competition for Order Flow and Smart Order Routing Systems (2008, background): “4 Trade-throughs in the U.S. securities markets are documented in Bessembinder (2003), Battalio et al. (2004), and Hendershott and Jones (2005a).”
Limit order books (2010, background): “Recently, there has been an increase in the popularity of so-called dark pools (see, e.g. Carrie (2006) and Hendershott and Jones (2005)).”
Hidden and Displayed Liquidity in Securities Markets with Informed Liquidity Providers (2013, unknown): “Alternatively, Boehmer, Saar and Yu (2005) and Hendershott and Jones (2005) find that market quality improves.5 Frey and Sandas (2008) and Bessembinder, Panayides and Venkataraman (2009) examine cross-sections of stocks in European markets, and they compare executions involving hidden and displayed…”
What Do Price Discovery Metrics Really Measure (2013, methodology): “…to imitate empirical studies, which often estimate the VECM for each stock-day using 1-second intervals, e.g., Hasbrouck (1995), Hasbrouck (2003), Hendershott and Jones (2005), Cao et al. (2009) (there are approximately 21,600 1- second observations in a typical trading day in US stock markets).”
Do Dark Pools Harm Price Discovery (2013, unknown): “) While this result relies on the assumption of finite order size per capita, a finite order size is a standard assumption in existing models of dark pools, such as Hendershott and Mendelson (2000), Degryse, Van Achter, and Wuyts (2009), and Buti, Rindi, and Werner (2011a), as well as the classic mo”
A Structural Analysis of Price Discovery Measures (2010, background): “Tse et. al (2005) and Hendershott and Jones (2005) also sampled at one second and found low residual correlations in their studies of price discovery on electronic exchanges.”