BV–VPIN: Measuring the impact of order flow toxicity and liquidity on international equity markets

2018 ◽  
Author(s):  
Rand Kwong Yew Low ◽  
Te Li ◽  
Terry Marsh
Keyword(s):  
Equity Markets ◽  
Order Flow ◽  
International Equity Markets ◽  
International Equity ◽  
The Impact

An Empirical Analysis of Market Segmentation on U.S. Equity Markets

2017 ◽  
Vol 52 (6) ◽  
pp. 2399-2427 ◽  
Author(s):  
Frank Hatheway ◽  
Amy Kwan ◽  
Hui Zheng
Keyword(s):  
Asymmetric Information ◽  
Market Segmentation ◽  
Equity Markets ◽  
Equity Market ◽  
Market Quality ◽  
International Equity Markets ◽  
National Market ◽  
International Equity ◽  
System Requirements ◽  
The Impact

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.

Global private information in international equity markets☆

2009 ◽  
Vol 94 (1) ◽  
pp. 18-46 ◽  
Author(s):  
Rui Albuquerque ◽  
Gregory H. Bauer ◽  
Martin Schneider
Keyword(s):  
Private Information ◽  
Equity Markets ◽  
International Equity Markets ◽  
International Equity

scholarly journals Cojumps and asset allocation in international equity markets

2019 ◽  
Vol 98 ◽  
pp. 1-22 ◽  
Author(s):  
Mohamed Arouri ◽  
Oussama M’saddek ◽  
Duc Khuong Nguyen ◽  
Kuntara Pukthuanthong
Keyword(s):  
Asset Allocation ◽  
Equity Markets ◽  
International Equity Markets ◽  
International Equity
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