TY  - CHAP
AB  - Stock markets during the day are relatively centralized, while night markets, due to the dominance of electronic trading venues, are fragmented. Though electronic markets at night allow more competition for order flow, they may result in decreased order interaction and decreased transparency. Using transaction data for three exchange traded funds (ETFs), we find that bid–ask spreads are wider at night due to higher order processing costs, market maker rents, and inventory holding costs. Results show that night markets are informationally fragmented and are not able to impound information available in net order flow to the same degree as day markets.
VL  - 23
SN  - 978-1-84950-441-6, 978-0-7623-1345-7/0196-3821
DO  - 10.1016/S0196-3821(06)23004-1
UR  - https://doi.org/10.1016/S0196-3821(06)23004-1
AU  - Richie Nivine
AU  - Madura Jeff
ED  - Andrew H. Chen
PY  - 2006
Y1  - 2006/01/01
TI  - Fragmentation of Day versus Night Markets
T2  - Research in Finance
T3  - Research in Finance
PB  - Emerald Group Publishing Limited
SP  - 99
EP  - 125
Y2  - 2024/09/24
ER  -