Discretion over Regulation: The Effectiveness of a Post-trade Transparency Regime

32 Pages Posted: 17 Jul 2020 Last revised: 25 Feb 2021

See all articles by Van Dang

Van Dang

University of South Australia - School of Commerce

Riccardo De Blasis

Lum University Giuseppe Degennaro

Vito Mollica

Macquarie Graduate School of Management; Capital Markets CRC Limited (CMCRC); Macquarie University, Macquarie Business School

Date Written: June 11, 2020

Abstract

This paper explores the benefits post-trade transparency delays provide block trade facilitators who are afforded discretion in the timing of publishing the size and price of their trades on the London Stock Exchange. Operationalized under the auspices of MIFID II, we model the delay using Cox's proportional hazard framework and show dealers elect a particular post-trade transparency delay that assists in inventory management and market-making/facilitation profits. More generally for the market, we show publication creates volatility impacts, albeit less that of execution. We find the longer the delay, the lower the price volatility impact of publication.

Keywords: Discrete Duration,Post-trade Transparency,Survival Analysis,Hazard Function,Deferred Publication,Information Schedule,Block Trades

JEL Classification: G14, G15, G18

Suggested Citation

Dang, Van and De Blasis, Riccardo and Mollica, Vito, Discretion over Regulation: The Effectiveness of a Post-trade Transparency Regime (June 11, 2020). Available at SSRN: https://ssrn.com/abstract=3624774 or http://dx.doi.org/10.2139/ssrn.3624774

Van Dang (Contact Author)

University of South Australia - School of Commerce ( email )

37-44 North Terrace
Adelaide, South Australia 5000
Australia

Riccardo De Blasis

Lum University Giuseppe Degennaro ( email )

Casamassima, 70010
Italy

Vito Mollica

Macquarie Graduate School of Management ( email )

Capital Markets CRC Limited (CMCRC) ( email )

Level 3, 55 Harrington Street
Sydney, 2000
Australia

Macquarie University, Macquarie Business School ( email )

New South Wales 2109
Australia

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