Voluntary pre-trade anonymity and market liquidity
| Autor: | Miguel Angel Pérez Martínez, Mikel Tapia |
|---|---|
| Přispěvatelé: | Ministerio de Economía y Competitividad (España), Ministerio de Ciencia y Tecnología (España), Fondo Europeo de Desarrollo Regional |
| Rok vydání: | 2020 |
| Předmět: |
Information disclosure
Economics and Econometrics Voluntary trader anonymity Data_MISCELLANEOUS Market liquidity Sample (statistics) Monetary economics Economía Stock exchange Market quality Accounting 0502 economics and business G10 050207 economics ComputingMethodologies_COMPUTERGRAPHICS 050208 finance 05 social sciences Stock liquidity Identification (information) Pre-trade transparency Turnover ComputingMilieux_COMPUTERSANDSOCIETY Business Effective volume Finance Empresa Anonymity |
| Zdroj: | e-Archivo. Repositorio Institucional de la Universidad Carlos III de Madrid instname |
| ISSN: | 2332-0753 0210-2412 |
| DOI: | 10.1080/02102412.2020.1763052 |
| Popis: | This paper analyses the effects on liquidity of voluntary pre-trade anonymity in the trading process. We confirm previous studies showing that market liquidity improves immediately after anonymous trading. Using the daily percentage of effective volume traded anonymously, we show that the anonymity–liquidity relationship presents a non-linear U-shape. We focus on the voluntary concealment of broker identification introduced by the Spanish Stock Exchange in October 2015. We conclude that, in our sample, anonymity increases stock liquidity but at a decreasing rate; when a considerable part of the effective volume is traded anonymously, additional percentages of anonymous trading deteriorates stock liquidity. This work was supported by the Comunidad de Madrid [S2015/HUM-3353 (EARLYFIN-CM)]; Ministerio de Ciencia y Tecnología [ECO2015-69205-P]; Ministerio de Economía y Competitividad [ECO2014-51914-P]; Fondos FEDER [UNC315-EE-3636]; Basque Government [IT1336-19]. |
| Databáze: | OpenAIRE |
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