Lifting the Veil: An Analysis of Pre-Trade Transparency at the NYSE
Leonard N. Stern School of Business Dept. of Finance Working Paper No. 03-002
45 Pages Posted: 9 Apr 2003
There are 3 versions of this paper
Lifting the Veil: An Analysis of Pre-Trade Transparency at the NYSE
Lifting the Veil: An Analysis of Pre-Trade Transparency at the Nyse
Lifting the Veil: An Analysis of Pre-Trade Transparency at the NYSE
Date Written: April 2004
Abstract
We study pre-trade transparency by looking at the introduction of NYSE's OpenBook service that provides limit order book information to traders off the exchange floor. We find that traders attempt to manage limit order exposure: They submit smaller orders and cancel orders faster. Specialists' participation rate and the depth they add to the quote decline. Liquidity increases in that the price impact of orders declines, and we find some improvement in the informational efficiency of prices. These results suggest that an increase in pre-trade transparency affects investors' trading strategies and can improve certain dimensions of market quality.
Keywords: Market microstructure, informational efficiency, liquidity, market design, New York Stock Exchange, OpenBook, transparency, trading strategies, limit orders, specialists
JEL Classification: G24
Suggested Citation: Suggested Citation
Do you have negative results from your research you’d like to share?
Recommended Papers
-
Lifting the Veil: An Analysis of Pre-Trade Transparency at the Nyse
By Ekkehart Boehmer, Gideon Saar, ...
-
Does Anonymity Matter in Electronic Limit Order Markets?
By Thierry Foucault, Sophie Moinas, ...
-
Does Anonymity Matter in Electronic Limit Order Markets?
By Thierry Foucault, Sophie Moinas, ...
-
Island Goes Dark: Transparency, Fragmentation, Liquidity Externalities, and Multimarket Regulation
-
Reputation Effects in Trading on the New York Stock Exchange
By Andrew Ellul, Robert H. Battalio, ...
-
The Economic Value of a Trading Floor: Evidence from the American Stock Exchange
By Ashish Tiwari, Robert A. Schwartz, ...
-
Lack of Anonymity and the Inference from Order Flow
By Juhani T. Linnainmaa and Gideon Saar
-
The Impact of Limit Order Anonymity on Liquidity: Evidence from Paris, Tokyo and Korea
By Carole Comerton-forde, Alex Frino, ...
-
Market Architecture and Global Exchange Efficiency: One Design Need not Fit all Stock Sizes