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Anonymous trading in equities

Tom Grimstvedt Meling ()
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Tom Grimstvedt Meling: University of Bergen, Department of Economics, Postal: Institutt for økonomi, Universitetet i Bergen, Postboks 7802, 5020 Bergen, Norway

No 7/17, Working Papers in Economics from University of Bergen, Department of Economics

Abstract: I explore a reform at the Oslo Stock Exchange to assess the causal effect of trader anonymity on liquidity and trading volume. Using a regression discontinuity approach, I find that anonymity leads to a reduction in bid-ask spreads by 40% and an increase in trading volume by more than 50%. The increase in trading volume is mostly accounted for by an increase in trading activity by institutional investors. These results are consistent with theoretical frameworks where informed traders supply and improve liquidity in anonymous markets.

Keywords: Equity Trading; Limit Order Markets; Anonymous trading (search for similar items in EconPapers)
JEL-codes: G10 G20 (search for similar items in EconPapers)
Pages: 57 pages
Date: 2017-09-06
New Economics Papers: this item is included in nep-mst
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