Abstract
We exploit regulatory changes to the block trade definition in the Australian equities market to determine if the block threshold affects the level of pre-trade block and non-block trading activity. Using a one off change to the block trade thresholds and 12 quarterly revisions to block trades tiers as sources of exogenous variation we can draw casual inference on whether block trade and dark trades are substitutes or complements. Our results provide empirical evidence that (1) block sized thresholds constrain trading in the upstairs markets and (2) block and dark trading are complementary.
| Original language | English |
|---|---|
| Title of host publication | Auckland Finance Meeting 2017 |
| Subtitle of host publication | Programme |
| Place of Publication | Auckland |
| Publisher | Auckland University of Technology |
| Number of pages | 1 |
| Publication status | Published - 2017 |
| Externally published | Yes |
| Event | 7th Auckland Finance Meeting - The Auckland Centre for Financial Research at the Faculty of Business and Law, Auckland University of Technology, Queenstown, New Zealand Duration: 18 Dec 2017 → 20 Dec 2017 Conference number: 7th https://acfr.aut.ac.nz/conferences-and-events/past-conferences-and-events/2017-auckland-finance-meeting |
Conference
| Conference | 7th Auckland Finance Meeting |
|---|---|
| Abbreviated title | ACFR |
| Country/Territory | New Zealand |
| City | Queenstown |
| Period | 18/12/17 → 20/12/17 |
| Internet address |