Sunshine Trading: Flashes of Trading Intent at the Nasdaq
Working paper
Published version
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http://hdl.handle.net/11250/2496942Utgivelsesdato
2011Metadata
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Sammendrag
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.