| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP4079
|
| DP4079 Unionization Structures and Innovation Incentives |
| Christian Wey; Justus Haucap
|
| 发表日期 | 2003-10-23
|
| 出版年 | 2003
|
| 语种 | 英语
|
| 摘要 | We analyse the effect of concealing limit order traders? identities on market liquidity. We develop a model in which limit order traders have asymmetric information on the cost of limit order trading (which is determined by the exposure to informed trading). A thin limit order book signals to uninformed bidders that the profitability of limit orders is small. This deters uninformed bidders from improving upon the posted quotes. Informed bidders exploit this effect by bidding as if the cost of liquidity provision were large when indeed it is small. This bluffing strategy is less effective when traders cannot distinguish between informative and uninformative limit orders. Hence informed bidders act more competitively in the anonymous market. For this reason, concealing limit order traders? IDs affects market liquidity in our model. We test this prediction using a natural experiment. On April 23, 2001, the limit order book for stocks listed on Euronext Paris became anonymous. We find that following this change, the average quoted spreads declined significantly whereas the quoted depth decreased. |
| 主题 | Financial Economics
|
| 关键词 | Market microstructure
Limit order trading
Anonymity
transparency
Liquidity
|
| URL | https://cepr.org/publications/dp4079
|
| 来源智库 | Centre for Economic Policy Research (United Kingdom)
|
| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/533055
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推荐引用方式
GB/T 7714 |
Christian Wey,Justus Haucap. DP4079 Unionization Structures and Innovation Incentives. 2003.
|
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