Anonymity, Stealth Trading, and the Information Content of Broker Identity

22 Pages Posted: 13 Jul 2010

See all articles by Alex Frino

Alex Frino

The University of Sydney - Discipline of Finance; Financial Research Network (FIRN)

David Johnstone

University of Sydney Business School; Financial Research Network (FIRN)

Hui Zheng

Discipline of Finance, The University of Sydney; Capital Markets CRC Limited

Abstract

This paper examines whether the identity of a broker involved in transactions contains information. Using a sample of transactions from the Australian Stock Exchange — where broker identity is transparent — we provide evidence that consecutive buyer-/seller-initiated transactions by the same broker have a relatively high permanent price impact. This implies that broker identity conveys information to market participants, and that markets in which broker identity is disclosed are likely to be more efficient. We also find that medium-sized trades by the same broker convey greater information than large and small trades, which is consistent with stealth trading by informed investors.

Suggested Citation

Frino, Alex and Johnstone, David and Zheng, Hui, Anonymity, Stealth Trading, and the Information Content of Broker Identity. Financial Review, Vol. 45, Issue 3, pp. 501-522, August 2010, Available at SSRN: https://ssrn.com/abstract=1639191 or http://dx.doi.org/10.1111/j.1540-6288.2010.00258.x

Alex Frino (Contact Author)

The University of Sydney - Discipline of Finance ( email )

Futures Research Centre
P.O. Box H58
Sydney NSW
Australia
+61 2 9299 1809 (Phone)
+61 2 9299 1830 (Fax)

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

HOME PAGE: http://www.firn.org.au

David Johnstone

University of Sydney Business School ( email )

Instute of Transport and Logistics Studies (C37)
The University of Sydney
Sydney, NSW 2133
Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

HOME PAGE: http://www.firn.org.au

Hui Zheng

Discipline of Finance, The University of Sydney ( email )

P.O. Box H58
Sydney, NSW 2006
Australia
+61 2 9351 3915 (Phone)
+61 2 9351 6461 (Fax)

Capital Markets CRC Limited ( email )

GPO Box 970
55 Harrington Street
Sydney, NSW 2001
Australia

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
4
Abstract Views
421
PlumX Metrics