Journal of Financial and Quantitative Analysis Vol. 55 No. 7 2020
Does Trading Anonymously Enhance Liquidity?
Abstract
Is liquidity better when a trade counterparty’s brokerage firm is unknown (anonymous) or known (transparent)? We examine a quasinatural experiment where some firms switched from transparent to anonymous trading and then, 1 year later, switched back. Our results for inside spread, price impact, and limit order book depth suggest that liquidity improves when anonymous post-trade reporting is introduced and liquidity worsens when anonymous post-trade reporting is reversed.
- DOI
- 10.1017/s0022109019000747
- Volume
- 55
- Issue
- 7
- Pages
- 2372-2396
- Language
- en
- Sources
- bibtex:phds-export.bib openalex crossref