PT  - JOURNAL ARTICLE
AU  - Drew Harris
AU  - Frederick H. de B. Harris
TI  - Determinants of Price Discovery: <em>Dark Trading and Price Improvement</em>
AID  - 10.3905/jot.2017.12.1.055
DP  - 2016 Dec 31
TA  - The Journal of Trading
PG  - 55--72
VI  - 12
IP  - 1
4099  - https://pm-research.com/content/12/1/55.short
4100  - https://pm-research.com/content/12/1/55.full
AB  - What role does dark trading play in price dynamics? The authors estimate the permanent information that dark trading contributes as well as the effect of the Investment Industry Regulatory Organization of Canada (IIROC) Notice 12-0130, which mandated price improvement on dark trades. The analysis provides context and a comparative perspective by assessing informational dynamics between Canadian and U.S. cross-listed securities. Dark trading contributes very little permanent information in Canada—only a 7.1% information leadership share. Post–IIROC Notice 12-0130, the authors find a reduction in the information content of dark trades after controlling for the effects of order book quality, informational asymmetry, and transactional efficiency.TOPICS: Exchanges/markets/clearinghouses, developed