Anonymous Trading in Equities

71 Pages Posted: 6 Sep 2015 Last revised: 21 Jan 2021

See all articles by Tom Meling

Tom Meling

University of Bergen; University of Chicago

Date Written: May 26, 2020

Abstract

In this paper, I explore a reform at the Oslo Stock Exchange to assess the causal
effect of post-trade trader anonymity on stock liquidity and trading volume. Using a regression discontinuity approach, I find that anonymity leads to a reduction in bid-ask spreads of 40% and an increase in trading volume of more than 50%. The increase in trading volume is accounted for largely by increased trading activity by institutional investors, while retail investors do not adjust their trading behavior in response to anonymity. The results suggest that post-trade anonymity positively affects standard measures of market quality.

Suggested Citation

Meling, Tom, Anonymous Trading in Equities (May 26, 2020). Journal of Finance, Forthcoming, Available at SSRN: https://ssrn.com/abstract=2656161 or http://dx.doi.org/10.2139/ssrn.2656161

Tom Meling (Contact Author)

University of Bergen ( email )

Fosswinckelsgt. 6
Bergen, N-5007
Norway

HOME PAGE: http://https://sites.google.com/site/tomgrmeling/

University of Chicago ( email )

1101 East 58th Street
Chicago, IL 60637
United States

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