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.

摘要

本文分析了交易过程中自愿交易前匿名对流动性的影响。我们确认先前的研究表明匿名交易后市场流动性立即得到改善。使用匿名交易的每日有效交易量的百分比，我们显示出匿名与流动性之间的关系呈现出非线性的U形。我们关注的是西班牙证券交易所于2015年10月推出的对经纪人身份的自愿隐瞒。当相当一部分有效交易量进行匿名交易时，匿名交易的额外百分比会降低股票流动性。