Intra-Day Revelation of Counterparty Identity in the World's Best-Lit Market

52 Pages Posted: 14 Aug 2015 Last revised: 14 Jun 2020

See all articles by Thu Phuong Pham

Thu Phuong Pham

University of Adelaide; IPAG Business School; Financial Research Network (FIRN)

Peter L. Swan

University of New South Wales (UNSW Sydney; Financial Research Network (FIRN)

P. Joakim Westerholm

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

Date Written: February 11, 2016

Abstract

We study the impact of post-trade disclosure of broker IDs on market efficiency, trading volume and bid-ask spreads in a unique South Korean experiment. We find that simply revealing the ex-post order flow of the major brokers to the entire market improves market efficiency to the level of a random walk and increases trade volume by facilitating the rapid removal of asymmetric information. The least volatile and largest stocks experience a remarkable 59% rise in volume during the afternoon session. Realized spreads fall, indicating greater competition between liquidity suppliers, whereas market impact increases because of more rapid price discovery.

Keywords: transparency, anonymity, market efficiency, market quality

JEL Classification: G10

Suggested Citation

Pham, Thu Phuong and Swan, Peter Lawrence and Westerholm, P. Joakim, Intra-Day Revelation of Counterparty Identity in the World's Best-Lit Market (February 11, 2016). 28th Australasian Finance and Banking Conference, Available at SSRN: https://ssrn.com/abstract=2644149 or http://dx.doi.org/10.2139/ssrn.2644149

Thu Phuong Pham

University of Adelaide ( email )

10 Pulteney Street
Adelaide, South Australia 5005
Australia

IPAG Business School ( email )

184 BD Saint Germain
Paris, 75006
France

Financial Research Network (FIRN)

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

Peter Lawrence Swan (Contact Author)

University of New South Wales (UNSW Sydney ( email )

School of Banking and Finance
UNSW Business School
Sydney NSW, NSW 2052
Australia
+61 2 9385 5871 (Phone)
+61 2 9385 6347 (Fax)

HOME PAGE: http://https://www.business.unsw.edu.au/our-people/peterswan

Financial Research Network (FIRN)

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

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

P. Joakim Westerholm

University of Sydney Business School ( email )

Cnr. of Codrington and Rose Streets
Sydney, NSW 2006
Australia

Financial Research Network (FIRN)

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

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

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