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The impact of reporting changes on hidden liquidity: Evidence from the Chicago stock exchange

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  • Cox, Justin S.

Abstract

This paper analyzes the NYSE Chicago's move to the Pillar integrated trading platform in November 2019. Following the move to Pillar, reported trading volume increases significantly for both equities and exchange traded funds (ETFs). The increase in trading volume and volume share in the NYSE Chicago is largely driven by trades against hidden liquidity. This increase in hidden liquidity is economically significant and is largely determined by the reporting of qualified contingent trades, QCTs. Although these trades were reported in the NYSE's Daily Trades and Quotes (DTAQ) files, these trades were not reported to the SEC's MIDAS database until to the move to Pillar. This paper shows the cross trade volume in the CHX comprises a significant amount of hidden volume in the U.S.

Suggested Citation

  • Cox, Justin S., 2022. "The impact of reporting changes on hidden liquidity: Evidence from the Chicago stock exchange," Global Finance Journal, Elsevier, vol. 53(C).
    • Handle: RePEc:eee:glofin:v:53:y:2022:i:c:s1044028322000424
    DOI: 10.1016/j.gfj.2022.100740
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    References listed on IDEAS

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    More about this item

    Keywords

    Chicago stock exchange; Hidden liquidity; Cross trades;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation

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