Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/57710 
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dc.contributor.authorFoucault, Thierryen
dc.contributor.authorMoinas, Sophieen
dc.contributor.authorTheissen, Eriken
dc.date.accessioned2012-04-25-
dc.date.accessioned2012-05-02T15:44:16Z-
dc.date.available2012-05-02T15:44:16Z-
dc.date.issued2005-
dc.identifier.urihttp://hdl.handle.net/10419/57710-
dc.description.abstractAs of April 23, 2001, the limit order book for stocks listed on Euronext Paris became anonymous. We study the effect of this switch to anonymity on market liquidity and the informational content of the limit order book. Our empirical analysis is based on a model of limit order trading in which traders have information on future price volatility. As limit orders have option-like features, this information is valuable for limit order traders. We analyze limit order traders' bidding strategies in 2 different market structures : (a) an anonymous market (limit order traders' IDs are concealed) and (b) a non-anonymous market (traders' IDs are disclosed). Limit order traders bid less aggressively when they expect volatility to rise. For this reason, in either market design, an increase in the bid-ask spread foreshadows increased volatility. Moreover, when information on future volatility is public, the informational content of the bid-ask spread and market liquidity are identical in each market structure. In contrast, when some traders possess superior information on future volatility, a switch to anonymity alters the informational content of the bid-ask spread and market liquidity. For our sample stocks, we find that the switch to anonymity in Euronext paris has significantly reduced the average quoted spread and the average effective spread. We also find that the size of the bid-ask spread is positively related the magnitude of future price movements. But the strength of this association is weaker after the switch to anonymity. Overall, the empirical findings are consistent with the version of our model in which traders possess private information about future volatility.en
dc.language.isoengen
dc.publisher|aUniversity of Cologne, Centre for Financial Research (CFR) |cCologneen
dc.relation.ispartofseries|aCFR Working Paper |x05-15en
dc.subject.jelG10en
dc.subject.jelG14en
dc.subject.jelG24en
dc.subject.ddc330en
dc.subject.keywordMarket Microstructureen
dc.subject.keywordLimit Order Tradingen
dc.subject.keywordAnonymityen
dc.subject.keywordTransparencyen
dc.subject.keywordLiquidityen
dc.subject.keywordVolatility Forecastsen
dc.titleDoes anonymity matter in electronic limit order markets?-
dc.typeWorking Paperen
dc.identifier.ppn699925355en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:cfrwps:0515en

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