{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,8,14]],"date-time":"2026-08-14T15:37:21Z","timestamp":1786721841242,"version":"build-2736575974"},"posted":{"date-parts":[[2026]]},"group-title":"SSRN","reference-count":0,"publisher":"Elsevier BV","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"abstract":"<jats:p>This paper documents how a trade-policy shock is associated with a large, uniform increase in the adverse-selection component of the bid-ask spread across fragmented equity venues. Using NASDAQ TotalView-ITCH Level 3 Marketby-Order data for four NASDAQ-linked venues-XNAS, NYSE Arca, NASDAQ PSX, and NASDAQ BX-I assemble a stock-venue-day panel of 240 observations covering 20 liquid stocks around the April 2025 Liberation Day tariff announcement. Applying the Huang and Stoll (1997) spread decomposition to reconstructed top-of-book data, I find that the price-impact component of the effective spread rises by 501% on the primary NASDAQ venue, by 295% on NYSE Arca, by 398% on NASDAQ PSX, and by 1038% on NASDAQ BX between the preannouncement day and the two-day crisis window. Realised spreads turn sharply negative on the two primary venues, a pattern consistent with either elevated adverse selection or liquidity withdrawal by market makers. In a panel fixedeffects specification with stock-clustered standard errors and venue \u00d7 post interactions, every venue exhibits a statistically significant widening of the effective spread and a statistically significant compression of median order lifetime; the NASDAQ BX effective-spread response is 138.8 basis points larger than the primary-venue response (p &amp;lt; 0.01). The results point to adverse selection as the most plausible dominant microstructural channel through which the shock propagated, subject to the interpretive caveats discussed in Section 5, and they document that the magnitude of the response varies systematically with venue characteristics.<\/jats:p>","DOI":"10.2139\/ssrn.6616319","type":"posted-content","created":{"date-parts":[[2026,4,24]],"date-time":"2026-04-24T13:33:41Z","timestamp":1777037621000},"source":"Crossref","is-referenced-by-count":0,"title":["Adverse Selection and Cross-Venue Spread Widening Under a Trade-Policy Shock: Evidence from Nanosecond-Resolution Order Book Data Around the April 2025 Liberation Day Tariff Announcement"],"prefix":"10.2139","author":[{"ORCID":"https:\/\/orcid.org\/0009-0005-8477-9393","authenticated-orcid":true,"given":"Boon Chuan","family":"Lim","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"78","container-title":[],"original-title":[],"deposited":{"date-parts":[[2026,8,14]],"date-time":"2026-08-14T15:09:57Z","timestamp":1786720197000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.ssrn.com\/abstract=6616319"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2026]]},"references-count":0,"URL":"https:\/\/doi.org\/10.2139\/ssrn.6616319","relation":{},"subject":[],"published":{"date-parts":[[2026]]},"subtype":"preprint"}}