RT Journal Article SR Electronic T1 Determinants of Price Discovery: Dark Trading and Price Improvement JF The Journal of Trading FD Institutional Investor Journals SP 55 OP 72 DO 10.3905/jot.2017.12.1.055 VO 12 IS 1 A1 Drew Harris A1 Frederick H. de B. Harris YR 2016 UL https://pm-research.com/content/12/1/55.abstract 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