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

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