Andreas Park
internalization = a trade arranged within a brokerage without the participation of order flow that does not pertain to the brokerage
Battalio, Greene, and Jennings (1997); Hansch, Naik, and Viswanathan (1999); and Kam, Panchapagesan, and Weaver (2003)
most applicable, nuanced paper: Comerton-Forde & Putnins (JFE 2015):
Findings
bad
good
bad
good
Type | %value |
---|---|
blocks/"intentional crosses" | 11% |
other dark | 8% |
TSX broker-preferenced | 12% |
Total of all | 31% |
uptick by 2% daily volume in broker preferencing
note: most is client-to-client
client-to-client
client-to-self