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The impact of limit order anonymity on liquidity: Evidence from Paris, Tokyo and Korea

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  • Comerton-Forde, Carole
  • Frino, Alex
  • Mollica, Vito

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  • Comerton-Forde, Carole & Frino, Alex & Mollica, Vito, 2005. "The impact of limit order anonymity on liquidity: Evidence from Paris, Tokyo and Korea," Journal of Economics and Business, Elsevier, vol. 57(6), pages 528-540.
    • Handle: RePEc:eee:jebusi:v:57:y:2005:i:6:p:528-540
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    1. Hamao, Yasushi & Hasbrouck, Joel, 1995. "Securities Trading in the Absence of Dealers: Trades and Quotes on the Tokyo Stock Exchange," The Review of Financial Studies, Society for Financial Studies, vol. 8(3), pages 849-878.
    2. Thierry Foucault & Sophie Moinas & Erik Theissen, 2007. "Does Anonymity Matter in Electronic Limit Order Markets?," The Review of Financial Studies, Society for Financial Studies, vol. 20(5), pages 1707-1747, 2007 28.
    3. Harris, Lawrence E, 1994. "Minimum Price Variations, Discrete Bid-Ask Spreads, and Quotation Sizes," The Review of Financial Studies, Society for Financial Studies, vol. 7(1), pages 149-178.
    4. Bruce N. Lehmann and David M. Modest., 1994. "Trading and Liquidity on the Tokyo Stock Exchange: A Bird's Eye View," Research Program in Finance Working Papers RPF-234, University of California at Berkeley.
    5. Newey, Whitney & West, Kenneth, 2014. "A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 33(1), pages 125-132.
    6. Goldstein, Michael A. & A. Kavajecz, Kenneth, 2000. "Eighths, sixteenths, and market depth: changes in tick size and liquidity provision on the NYSE," Journal of Financial Economics, Elsevier, vol. 56(1), pages 125-149, April.
    7. McInish, Thomas H & Wood, Robert A, 1992. "An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks," Journal of Finance, American Finance Association, vol. 47(2), pages 753-764, June.
    8. Erik Theissen, 2003. "Trader Anonymity, Price Formation and Liquidity," Review of Finance, European Finance Association, vol. 7(1), pages 1-26.
    9. Madhavan, Ananth & Porter, David & Weaver, Daniel, 2005. "Should securities markets be transparent?," Journal of Financial Markets, Elsevier, vol. 8(3), pages 265-287, August.
    10. Yusif Simaan & Daniel G. Weaver & David K. Whitcomb, 2003. "Market Maker Quotation Behavior and Pretrade Transparency," Journal of Finance, American Finance Association, vol. 58(3), pages 1247-1268, June.
    11. Lehmann, Bruce N & Modest, David M, 1994. "Trading and Liquidity on the Tokyo Stock Exchange: A Bird's Eye View," Journal of Finance, American Finance Association, vol. 49(3), pages 951-984, July.
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    Cited by:

    1. Phuong Pham, Thu & Joakim Westerholm, P., 2013. "An international trend in market design: Endogenous effects of limit order book transparency on volatility, spreads, depth and volume," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 27(C), pages 202-223.
    2. Jagjeev Dosanjh, 2017. "Exchange Initiatives and Market Efficiency: Evidence from the Australian Securities Exchange," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2017.
    3. He, Yinghua & Nielsson, Ulf & Guo, Hong & Yang, Jiong, 2014. "Subscribing to transparency," Journal of Banking & Finance, Elsevier, vol. 44(C), pages 189-206.
    4. Duong, Huu Nhan & Kalev, Petko S., 2013. "Anonymity and order submissions," Pacific-Basin Finance Journal, Elsevier, vol. 25(C), pages 101-118.
    5. de Frutos, M. Ángeles & Manzano, Carolina, 2014. "Market transparency, market quality, and sunshine trading," Journal of Financial Markets, Elsevier, vol. 17(C), pages 174-198.
    6. Thu Phuong Pham, 2015. "Broker ID transparency and price impact of trades: evidence from the Korean Exchange," International Journal of Managerial Finance, Emerald Group Publishing Limited, vol. 11(1), pages 117-131, February.
    7. Grimstvedt Meling, Tom, 2017. "Anonymous trading in equities," Working Papers in Economics 7/17, University of Bergen, Department of Economics.
    8. Pham, Thu Phuong & Westerholm, P. Joakim, 2013. "A survey of research into broker identity and limit order book," Working Papers 17212, University of Tasmania, Tasmanian School of Business and Economics, revised 16 Oct 2013.
    9. repec:uts:finphd:34 is not listed on IDEAS
    10. Dennis, Patrick J. & Sandås, Patrik, 2014. "Does Trading Anonymously Enhance Liquidity?," Working Paper Series 288, Sveriges Riksbank (Central Bank of Sweden).
    11. Duong, Huu Nhan & Lajbcygier, Paul & Lu, Jerry Shuai & Vu, Van Hoang, 2018. "The effect of anonymity on price efficiency: Evidence from the removal of broker identities," Pacific-Basin Finance Journal, Elsevier, vol. 51(C), pages 95-107.
    12. Alexandra Hachmeister & Dirk Schiereck, 2010. "Dancing in the dark: post-trade anonymity, liquidity and informed trading," Review of Quantitative Finance and Accounting, Springer, vol. 34(2), pages 145-177, February.
    13. Duong, Huu Nhan & Kalev, Petko S., 2014. "Anonymity and the Information Content of the Limit Order Book," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 30(C), pages 205-219.
    14. Duong, Huu Nhan & Kalev, Petko S. & Krishnamurti, Chandrasekhar, 2009. "Order aggressiveness of institutional and individual investors," Pacific-Basin Finance Journal, Elsevier, vol. 17(5), pages 533-546, November.
    15. Louis R. Mercorelli & David Michayluk & Anthony D. Hall, 2008. "Modelling Adverse Selection on Electronic Order-Driven Markets," Research Paper Series 220, Quantitative Finance Research Centre, University of Technology, Sydney.
    16. Dennis, Patrick J. & Sandås, Patrik, 2020. "Does Trading Anonymously Enhance Liquidity?," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 55(7), pages 2372-2396, November.
    17. Alex Frino & Dionigi Gerace & Andrew Lepone, 2008. "Limit order book, anonymity and market liquidity: evidence from the Sydney Futures Exchange," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 48(4), pages 561-573, December.

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