Electronic Theses and Dissertations

Date of Award


Document Type


Degree Name

Ph.D. in Business Administration



First Advisor

Robert A. Van Ness

Second Advisor

Bonnie Van Ness

Third Advisor

Kathleen Fuller

Relational Format



In Part 1, I investigate the effects of market fragmentation in the liquidity formation of initial public offerings (IPOs). Recent exchange officials cite increases in market fragmentation as a hindrance to the liquidity formation in IPO trading. We find that IPOs are less fragmented at the start of IPO trading relative to later periods in the IPO secondary market. We also discover that more underpriced issues experience greater fragmentation, both lit and dark, at the start of IPO trading. Our study also examines the level of undisplayed liquidity in IPOs, finding more hidden trading at the start of IPO trading and in more underpriced issues. Finally, we provide evidence that algorithmic, hidden, and lit fragmented trading improve offering day IPO liquidity. In Part 2, I use the current fragmented market structure to test and an update theoretical limit order models on trading aggressiveness and order submissions around liquidity deadlines such as a stock’s ex-dividend date. We use a stock’s ex-dividend date as a deadline for liquidity traders to examine if dividend-seeking traders use dark and/or taker-maker venues as these two venues allow traders to bypass waiting costs and spread constraints to capture dividends. Our evidence indicates that taker-maker (dark) venue market share decreases (increases) on cum-dividend days, reverting once the stock trades ex-dividend. In Part 3, I use off-exchange retail trading data to examine the relevance of stock splits in attracting retail participation. Historically, stock splits help align prices in an optimal price range, resulting in disperse ownership and greater retail investor participation. We cite Minnick and Raman’s (2014) contention that changes in direct retail ownership contribute to the decline in stock splits. We provide an empirical analysis of retail trading around stock splits, forward and reverse. Our results indicate a transitory increase (decrease) in both retail trading and retail trading imbalances around forward (reverse) splits. Our results cast doubt on the optimal price range hypothesis in that stock splits align prices to an optimal range and confirm the declining significance of stock splits in attracting permanent retail ownership.

Included in

Finance Commons



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