The Federation of European Securities Exchanges (FESE) is delighted to announce that the
FESE De la Vega Prize 2019 is awarded to the paper :
“Quasi-dark trading: The effects of banning dark pools in a world of many alternatives”
co- authored by
Thomas Johann, University of Mannheim;
Talis Putnins, University of Technology Sydney;
Satchit Sagade, Goethe University; and
Christian Westheide, University of Vienna.
Click here to download.
In the paper, the authors show how the dichotomy of transparent versus non-transparent
trading is an oversimplification of today’s complex trading landscape. The MiFID II ban on
dark pools triggered volume spill-overs into quasi-dark trading mechanisms, e.g. block
trading venues, periodic auctions, and internalising dealers, that serve as close substitutes
for dark pools.
Using a large cross-sectional database of stocks from ESMA, Fidessa, and Thomson Reuters
Eikon, the authors find that the ban had a negligible impact on market liquidity but
deteriorated short-term price efficiency for firms affected by the restrictions. Consequently,
regulators should carefully consider the spectrum of quasi-dark alternatives and the impact
of market regulation on equilibrium strategies of investors and venue operators.
The Prize was awarded by Petr Koblic, FESE President, CEO of the Prague Stock Exchange,
and Rainer Riess, FESE Director General, on Tuesday, 4th June 2019 at the Gala Dinner of the
FESE Convention in Dublin.
FESE De la Vega Advisory Jury 2019
Söhnke M. Bartram, Ph.D., Professor of Finance, Warwick Business School
Alain Durré, Ph.D., Executive Director and Economiste en chef, Goldman Sachs Paris
Sarah Draus, Ph.D., Assistant Professor, Finance Department of Rotterdam School of
Management, Erasmus University Rotterdam
Marlene D. Haas, Ph.D., Associate, Cornerstone Research
Björn Hagströmer, Ph.D., Associate Professor, Stockholm Business School,
Stockholm University
Arman Khachaturyan, Ph.D., Director General, Financial Policy: Economic and
Financial Affairs, Eurasian Economic Commission
Nondas Cl. Metaxas, Former CEO of the Cyprus Stock Exchange
Angel Pardo Tornero, Professor, Department of Financial Economics, University of
Valencia
Apostolos Thomadakis, Ph.D., Researcher, CEPS
Marius A. Zoican, Ph.D., Assistant Professor, Rotman School of Management,
University of Toronto
