Publication: Voluntary pre-trade anonymity and market liquidity
dc.affiliation.dpto | UC3M. Departamento de EconomÃa de la Empresa | es |
dc.contributor.author | Martinez Serrano, Miguel Angel | |
dc.contributor.author | Tapia, Mikel | |
dc.contributor.funder | Ministerio de EconomÃa y Competitividad (España) | es |
dc.contributor.funder | Ministerio de Ciencia y TecnologÃa (España) | es |
dc.contributor.funder | Fondo Europeo de Desarrollo Regional | es |
dc.date.accessioned | 2022-05-23T14:27:21Z | |
dc.date.available | 2022-05-23T14:27:21Z | |
dc.date.issued | 2020-06-16 | |
dc.description.abstract | This 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.sponsorship | This work was supported by the Comunidad de Madrid [S2015/HUM-3353 (EARLYFIN-CM)]; Ministerio de Ciencia y TecnologÃa [ECO2015-69205-P]; Ministerio de EconomÃa y Competitividad [ECO2014-51914-P]; Fondos FEDER [UNC315-EE-3636]; Basque Government [IT1336-19]. | en |
dc.identifier.bibliographicCitation | MartÃnez, 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.doi | https://doi.org/10.1080/02102412.2020.1763052 | |
dc.identifier.issn | 0210-2412 | |
dc.identifier.publicationfirstpage | 143 | es |
dc.identifier.publicationissue | 2 | es |
dc.identifier.publicationlastpage | 161 | es |
dc.identifier.publicationtitle | Spanish Journal of Finance and Accounting-Revista Espanola de Financiacion y Contabilida | es |
dc.identifier.publicationvolume | 50 | es |
dc.identifier.uri | https://hdl.handle.net/10016/34883 | |
dc.identifier.uxxi | AR/0000026838 | |
dc.language.iso | eng | es |
dc.publisher | Taylor&Francis | es |
dc.relation.projectID | Comunidad de Madrid. S2015/HUM-3353 | es |
dc.relation.projectID | Gobierno de España. ECO2015-69205-P | es |
dc.relation.projectID | Gobierno de España. UNC315-EE-3636 | es |
dc.rights | © 2020 Asociación Española de Contabilidad y Administración de Empresas (AECA) | es |
dc.rights.accessRights | open access | en |
dc.subject.eciencia | EconomÃa | es |
dc.subject.eciencia | Empresa | es |
dc.subject.jel | G10 | |
dc.subject.other | Voluntary trader anonymity | es |
dc.subject.other | Market liquidity | en |
dc.subject.other | Pre-trade transparency | en |
dc.subject.other | Information disclosure | en |
dc.subject.other | Market quality | en |
dc.title | Voluntary pre-trade anonymity and market liquidity | en |
dc.type | research article | * |
dc.type.hasVersion | AM | * |
dspace.entity.type | Publication |
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