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Knowing Me, Knowing You: Trader Anonymity and Informed Trading in Parallel Markets

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  • Grammig, J.
  • Schiereck, D.
  • Theissen, E.

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Paper provided by Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL) in its series Publications of Darmstadt Technical University, Institute for Business Studies (BWL) with number 35288.

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Date of creation: 2001
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Publication status: Published in Journal of Financial Markets . 4 (2001) : pp. 385-412
Handle: RePEc:dar:wpaper:35288

Note: for complete metadata visit http://tubiblio.ulb.tu-darmstadt.de/35288/
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References

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  1. Easley, David & O'Hara, Maureen & Paperman, Joseph, 1998. "Financial analysts and information-based trade," Journal of Financial Markets, Elsevier, Elsevier, vol. 1(2), pages 175-201, August.
  2. Subrahmanyam, Avanidhar, 1991. "A Theory of Trading in Stock Index Futures," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 4(1), pages 17-51.
  3. Lee, Charles M C & Ready, Mark J, 1991. " Inferring Trade Direction from Intraday Data," Journal of Finance, American Finance Association, American Finance Association, vol. 46(2), pages 733-46, June.
  4. Forster, Margaret M. & George, Thomas J., 1992. "Anonymity in securities markets," Journal of Financial Intermediation, Elsevier, Elsevier, vol. 2(2), pages 168-206, June.
  5. Brown, Philip & Thomson, Nathanial & Walsh, David, 1999. "Characteristics of the order flow through an electronic open limit order book," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 9(4), pages 335-357, November.
  6. Easley, David & O'Hara, Maureen, 1992. " Time and the Process of Security Price Adjustment," Journal of Finance, American Finance Association, American Finance Association, vol. 47(2), pages 576-605, June.
  7. Erik Theissen, 2002. "Floor versus Screen Trading: Evidence from the German Stock Market," Journal of Institutional and Theoretical Economics (JITE), Mohr Siebeck, Tübingen, Mohr Siebeck, Tübingen, vol. 158(1), pages 32-, March.
  8. Pagano, Marco, 1986. "Trading Volume and Asset Liquidity," CEPR Discussion Papers, C.E.P.R. Discussion Papers 142, C.E.P.R. Discussion Papers.
  9. Easley, David & Kiefer, Nicholas M & O'Hara, Maureen, 1997. "One Day in the Life of a Very Common Stock," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 10(3), pages 805-35.
  10. Easley, David, et al, 1996. " Liquidity, Information, and Infrequently Traded Stocks," Journal of Finance, American Finance Association, American Finance Association, vol. 51(4), pages 1405-36, September.
  11. Ian Domowitz, 1992. "Automating the Price Discovery Process," IMF Working Papers 92/80, International Monetary Fund.
  12. Fishman, Michael J & Longstaff, Francis A, 1992. " Dual Trading in Futures Markets," Journal of Finance, American Finance Association, American Finance Association, vol. 47(2), pages 643-71, June.
  13. Grossman, S.J., 1990. "The Information Role Of Upstairs And Downstairs Trading," Weiss Center Working Papers, Wharton School - Weiss Center for International Financial Research 22-90, Wharton School - Weiss Center for International Financial Research.
  14. Bhushan, Ravi, 1991. "Trading Costs, Liquidity, and Asset Holdings," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 4(2), pages 343-60.
  15. Chowdhry, Bhagwan & Nanda, Vikram, 1991. "Multimarket Trading and Market Liquidity," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 4(3), pages 483-511.
  16. Benveniste, Lawrence M. & Marcus, Alan J. & Wilhelm, William J., 1992. "What's special about the specialist?," Journal of Financial Economics, Elsevier, Elsevier, vol. 32(1), pages 61-86, August.
  17. Hau, Harald, 1999. "Information and Geography: Evidence from the German Stock Market," CEPR Discussion Papers, C.E.P.R. Discussion Papers 2297, C.E.P.R. Discussion Papers.
  18. Erik Theissen, 2002. "Trader Anonymity, Price Formation and Liquidity," Bonn Econ Discussion Papers, University of Bonn, Germany bgse20_2002, University of Bonn, Germany.
  19. Madhavan, Ananth & Sofianos, George, 1998. "An empirical analysis of NYSE specialist trading," Journal of Financial Economics, Elsevier, Elsevier, vol. 48(2), pages 189-210, May.
  20. Easley, David & O'Hara, Maureen, 1987. "Price, trade size, and information in securities markets," Journal of Financial Economics, Elsevier, Elsevier, vol. 19(1), pages 69-90, September.
  21. Roell, Ailsa, 1990. "Dual-capacity trading and the quality of the market," Journal of Financial Intermediation, Elsevier, Elsevier, vol. 1(2), pages 105-124, June.
  22. Admati, Anat R & Pfleiderer, Paul, 1991. "Sunshine Trading and Financial Market Equilibrium," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 4(3), pages 443-81.
  23. Matthew Rhodes-Kropf, 2005. "Price Improvement in Dealership Markets," The Journal of Business, University of Chicago Press, University of Chicago Press, vol. 78(4), pages 1137-1172, July.
  24. Terrence Hendershott & Haim Mendelson, 2000. "Crossing Networks and Dealer Markets: Competition and Performance," Journal of Finance, American Finance Association, American Finance Association, vol. 55(5), pages 2071-2115, October.
  25. Seppi, Duane J, 1990. " Equilibrium Block Trading and Asymmetric Information," Journal of Finance, American Finance Association, American Finance Association, vol. 45(1), pages 73-94, March.
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Cited by:
  1. Jan Hanousek & František Kopøiva, 2011. "Detecting Information-Driven Trading in a Dealers Market," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, Charles University Prague, Faculty of Social Sciences, vol. 61(3), pages 204-229, July.
  2. Alexandra Hachmeister & Dirk Schiereck, 2010. "Dancing in the dark: post-trade anonymity, liquidity and informed trading," Review of Quantitative Finance and Accounting, Springer, Springer, vol. 34(2), pages 145-177, February.
  3. Gomber, Peter & Sagade, Satchit & Theissen, Erik & Weber, Moritz Christian & Westheide, Christian, 2013. "Competition/fragmentation in equities markets: A literature survey," SAFE Working Paper Series 35, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
  4. David Abad & Antonio Rubia, 2005. "Modelos De Estimacion De La Probabilidad De Negociacion Informada: Una Comparacion Metodologica En El Mercado Español," Working Papers. Serie EC, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) 2005-12, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  5. Paiardini, Paola, 2009. "Informed Trading in Parallel Bond Markets," Economics & Statistics Discussion Papers esdp09053, University of Molise, Dept. EGSeI.
  6. Goodfellow, Christiane & Schiereck, Dirk & Verrier, Tatjana, 2010. "Does screen trading weather the weather? A note on cloudy skies, liquidity, and computerized stock markets," International Review of Financial Analysis, Elsevier, Elsevier, vol. 19(2), pages 77-80, March.
  7. Joachim Grammig & Erik Theissen, 2002. "Estimating the Probability of Informed Trading - Does Trade Misclassification Matter?," Bonn Econ Discussion Papers, University of Bonn, Germany bgse37_2002, University of Bonn, Germany.
  8. Frantisek Kopriva, 2008. "Source of Information-Driven Trading on the Prague Stock Exchange," CERGE-EI Working Papers wp365, The Center for Economic Research and Graduate Education - Economic Institute, Prague.
  9. Theissen, Erik, 2003. "Organized equity markets in Germany," CFS Working Paper Series 2003/17, Center for Financial Studies (CFS).
  10. William Lin, Hsiou-Wei & Ke, Wen-Chyan, 2011. "A computing bias in estimating the probability of informed trading," Journal of Financial Markets, Elsevier, Elsevier, vol. 14(4), pages 625-640, November.
  11. Dirk Schiereck & Christian Voigt, 2010. "With or without you: market quality of floor trading when screen trading closes early," Review of Quantitative Finance and Accounting, Springer, Springer, vol. 34(2), pages 179-197, February.
  12. Duong, Huu Nhan & Kalev, Petko S., 2013. "Anonymity and order submissions," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 25(C), pages 101-118.
  13. Comerton-Forde, Carole & Tang, Kar Mei, 2009. "Anonymity, liquidity and fragmentation," Journal of Financial Markets, Elsevier, Elsevier, vol. 12(3), pages 337-367, August.
  14. Erik Theissen, 2002. "Trader Anonymity, Price Formation and Liquidity," Bonn Econ Discussion Papers, University of Bonn, Germany bgse20_2002, University of Bonn, Germany.

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