Anonymity and order submissions

Huu Nhan Duong; Petko Stefanov Kalev

doi:10.1016/j.pacfin.2013.07.005

Anonymity and order submissions

Huu Nhan Duong, Petko Stefanov Kalev

Research output: Contribution to journal › Article › Research › peer-review

5 Citations (Scopus)

Abstract

We investigate the effect of the removal of broker identities on institutional and individual order submissions on the Australian Stock Exchange (ASX). We document declines in order aggressiveness and effective spreads for both institutional and individual investors after the switch to the anonymous trading system. Institutions are more willing to improve the best quotes than individuals, especially in the anonymous market. Anonymity also reduces the picked off risk for individual limit orders. Overall, our findings highlight the benefits of withholding brokers IDs in the form of lower transaction costs and higher liquidity supply and thus support the ASX s decision to stop disclosing broker identity information.

Original language	English
Pages (from-to)	101 - 118
Number of pages	18
Journal	Pacific Basin Finance Journal
Volume	25
DOIs	https://doi.org/10.1016/j.pacfin.2013.07.005
Publication status	Published - 2013

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10.1016/j.pacfin.2013.07.005

Cite this

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title = "Anonymity and order submissions",

abstract = "We investigate the effect of the removal of broker identities on institutional and individual order submissions on the Australian Stock Exchange (ASX). We document declines in order aggressiveness and effective spreads for both institutional and individual investors after the switch to the anonymous trading system. Institutions are more willing to improve the best quotes than individuals, especially in the anonymous market. Anonymity also reduces the picked off risk for individual limit orders. Overall, our findings highlight the benefits of withholding brokers IDs in the form of lower transaction costs and higher liquidity supply and thus support the ASX s decision to stop disclosing broker identity information.",

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AB - We investigate the effect of the removal of broker identities on institutional and individual order submissions on the Australian Stock Exchange (ASX). We document declines in order aggressiveness and effective spreads for both institutional and individual investors after the switch to the anonymous trading system. Institutions are more willing to improve the best quotes than individuals, especially in the anonymous market. Anonymity also reduces the picked off risk for individual limit orders. Overall, our findings highlight the benefits of withholding brokers IDs in the form of lower transaction costs and higher liquidity supply and thus support the ASX s decision to stop disclosing broker identity information.

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DO - 10.1016/j.pacfin.2013.07.005

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JO - Pacific Basin Finance Journal

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