The Impact of Limit Order Anonymity on Liquidity: Evidence from Paris, Tokyo and Korea
The Impact of Limit Order Anonymity on Liquidity: Evidence from Paris, Tokyo and Korea
复制标题
限价单匿名对流动性的影响：来自巴黎、东京和韩国的证据
DOI：
10.2139/ssrn.695602
复制
发表时间：
2005
期刊：
影响因子：
--
通讯作者：
Vito Mollica
中科院分区：
文献类型：
--
作者：
Carole Comerton;A. Frino;Vito Mollica
本文研究了经纪商匿名性对订单驱动市场中买卖价差的影响。先前的理论研究预测，限价订单匿名会带来更深、更具流动性的市场。本文利用巴黎泛欧交易所、东京证券交易所和韩国证券交易所提供的三个自然实验来检验这一命题。巴黎泛欧交易所和东京证券交易所分别于2001年4月23日和2003年6月30日从限价指令中删除了经纪人标识符。相比之下，韩国证券交易所于 1999 年 10 月 25 日引入了限价订单簿的经纪人标识符。结果证明，改变限价订单匿名性会对流动性产生影响。与预期一致，流动性因匿名性的增加而增强，而匿名性的降低则产生不利影响。
This paper examines the impact of broker anonymity on bid-ask spreads in order driven markets. Previous theoretical research predicts that limit order anonymity results in deeper and more liquid markets. This paper examines this proposition using three natural experiments provided by Euronext Paris, the Tokyo Stock Exchange and the Korea Stock Exchange. Euronext Paris and the Tokyo Stock Exchange removed broker identifiers from limit orders on April 23, 2001 and June 30, 2003, respectively. In contrast, the Korea Stock Exchange introduced broker identifiers for limit order books on October 25, 1999. The results provide evidence that altering limit order anonymity has an impact on liquidity. Consistent with expectations, liquidity is enhanced by increased anonymity and adversely affected by decreased anonymity.