2009-08-01, English, Article, Journal or magazine article edition: Anonymity, liquidity and fragmentation. Comerton-Forde, Carole; Tang, Kar Mei

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Physical Description
  • Magazine/​Journal article
Published
  • Elsevier B.V., 2009 August
Language
  • English

Edition details

Title
  • Anonymity, liquidity and fragmentation.
Appears In
  • Journal of Financial Markets, v.12, no.3, 2009 August, p.337(31) (ISSN: 1386-4181)
Author
  • Comerton-Forde, Carole
  • Tang, Kar Mei
Published
  • Elsevier B.V., 2009 August
Physical Description
  • Magazine/​Journal article
Subjects
Target Audience
  • Academic
Summary
  • To link to full-text access for this article, visit this link: http:/​/​dx.doi.org/​10.1016/​j.finmar.2008.12.001 Byline: Carole Comerton-Forde, Kar Mei Tang Keywords: Anonymity; Liquidity; Market fragmentation; Order flow Abstract: We examine the effects of the removal of broker identifiers from the central limit order book of the Australian Stock Exchange. We find that spreads and order aggressiveness decline, and order book depth increases, with the introduction of anonymous trading. This is consistent with the hypothesis that limit order traders are more willing to expose their orders when they can do so anonymously. Anonymous markets attract order flow from non-anonymous substitute markets, but this effect is only seen in large stocks. Our results suggest that exchanges operating in fragmented markets should consider anonymous trading to improve price competition and liquidity, although some of these benefits may be significant only if the stocks are sufficiently large and liquid. Author Affiliation: Discipline of Finance, Faculty of Economics and Business, Economics and Business Building (H69), University of Sydney, NSW 2006, Australia
Terms of Use
  • COPYRIGHT 2009 Elsevier B.V.
Language
  • English
Database
  • Gale Academic OneFile
Identifier
  • 203035235

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