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Does Anonymity Matter in Electronic Limit Order Markets? Author info | Abstract | Publisher info | Download info | Related research | Statistics Thierry Foucault
Sophie Moinas
Erik Theissen
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We develop a model in which limit order traders possess volatility information. We show that in this case the size of the bid-ask spread is informative about future volatility. Moreover, if volatility information is in part private, we establish that (i) the size of the bid-ask spread and (ii) its informativeness about future volatility should change in the same direction when limit order traders' identifiers stop being disclosed. We test these predictions using data from the Paris Bourse. As expected, we find that the average quoted spread and its informativeness are significantly smaller when limit order traders' identifiers are concealed. These findings suggest that the limit order book is a channel for volatility information. , Oxford University Press.
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Article provided by Oxford University Press for Society for Financial Studies in its journal Review of Financial Studies .
Volume (Year): 20 (2007)
Issue (Month): 5 (2007 28 )
Pages: 1707-1747
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Paper Foucault, Thierry & Moinas, Sophie & Theissen, Erik, 2003.
"Does Anonymity Matter in Electronic Limit Order Markets? ,"
CEPR Discussion Papers
4091, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted) Thierry Foucault & Sophie Moinas & Erik Theissen, 2004.
"Does Anonymity Matter in Electronic Limit Order Markets? ,"
Discussion Papers
3, SFB/TR 15 Governance and the Efficiency of Economic Systems, Free University of Berlin, Humboldt University of Berlin, University of Bonn, University of Mannheim, University of Munich.
[Downloadable!] Thierry, FOUCAULT & Sophie, MOINAS & Erik, THEISSEN, 2003.
"Does anonymity matter in electronic limit order markets ? ,"
Les Cahiers de Recherche
784, HEC Paris.
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Full
references Cited by : (explanations , Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.)
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