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Voluntary pre-trade anonymity and market liquidity

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dc.affiliation.dptoUC3M. Departamento de Economía de la Empresaes
dc.contributor.authorMartinez Serrano, Miguel Angel
dc.contributor.authorTapia, Mikel
dc.contributor.funderMinisterio de Economía y Competitividad (España)es
dc.contributor.funderMinisterio de Ciencia y Tecnología (España)es
dc.contributor.funderFondo Europeo de Desarrollo Regionales
dc.date.accessioned2022-05-23T14:27:21Z
dc.date.available2022-05-23T14:27:21Z
dc.date.issued2020-06-16
dc.description.abstractThis paper analyses the effects on liquidity of voluntary pre-trade anonymity in the trading process. We confirm previous studies showing that market liquidity improves immediately after anonymous trading. Using the daily percentage of effective volume traded anonymously, we show that the anonymity–liquidity relationship presents a non-linear U-shape. We focus on the voluntary concealment of broker identification introduced by the Spanish Stock Exchange in October 2015. We conclude that, in our sample, anonymity increases stock liquidity but at a decreasing rate; when a considerable part of the effective volume is traded anonymously, additional percentages of anonymous trading deteriorates stock liquidity.en
dc.description.sponsorshipThis work was supported by the Comunidad de Madrid [S2015/HUM-3353 (EARLYFIN-CM)]; Ministerio de Ciencia y Tecnología [ECO2015-69205-P]; Ministerio de Economía y Competitividad [ECO2014-51914-P]; Fondos FEDER [UNC315-EE-3636]; Basque Government [IT1336-19].en
dc.identifier.bibliographicCitationMartínez, M. A., & Tapia, M. (2020). Voluntary pre-trade anonymity and market liquidity. Spanish Journal of Finance and Accounting / Revista Española de Financiación y Contabilidad, 50 (2), pp. 143-161.en
dc.identifier.doihttps://doi.org/10.1080/02102412.2020.1763052
dc.identifier.issn0210-2412
dc.identifier.publicationfirstpage143es
dc.identifier.publicationissue2es
dc.identifier.publicationlastpage161es
dc.identifier.publicationtitleSpanish Journal of Finance and Accounting-Revista Espanola de Financiacion y Contabilidaes
dc.identifier.publicationvolume50es
dc.identifier.urihttps://hdl.handle.net/10016/34883
dc.identifier.uxxiAR/0000026838
dc.language.isoenges
dc.publisherTaylor&Francises
dc.relation.projectIDComunidad de Madrid. S2015/HUM-3353es
dc.relation.projectIDGobierno de España. ECO2015-69205-Pes
dc.relation.projectIDGobierno de España. UNC315-EE-3636es
dc.rights© 2020 Asociación Española de Contabilidad y Administración de Empresas (AECA)es
dc.rights.accessRightsopen accessen
dc.subject.ecienciaEconomíaes
dc.subject.ecienciaEmpresaes
dc.subject.jelG10
dc.subject.otherVoluntary trader anonymityes
dc.subject.otherMarket liquidityen
dc.subject.otherPre-trade transparencyen
dc.subject.otherInformation disclosureen
dc.subject.otherMarket qualityen
dc.titleVoluntary pre-trade anonymity and market liquidityen
dc.typeresearch article*
dc.type.hasVersionAM*
dspace.entity.typePublication
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