Lifting the Veil: An Analysis of Pre-Trade Transparency at the NYSE
Posted: 7 Mar 2004
There are 3 versions of this paper
Lifting the Veil: An Analysis of Pre-Trade Transparency at the NYSE
Lifting the Veil: An Analysis of Pre-Trade Transparency at the Nyse
Abstract
We study pre-trade transparency by looking at the introduction of NYSE's OpenBook service that provides limit order book information to traders off the exchange floor. We find that traders attempt to manage limit order exposure: they submit smaller orders and cancel orders faster. Specialists' participation rate and the depth they add to the quote decline. Liquidity increases in that the price impact of orders declines, and we find some improvement in the informational efficiency of prices. These results suggest that an increase in pre-trade transparency affects investors' trading strategies and can improve certain dimensions of market quality.
Keywords: Market microstructure, informational efficiency, liquidity, market design, New York Stock Exchange, OpenBook, transparency, trading strategies, limit orders, specialists
JEL Classification: G24
Suggested Citation: Suggested Citation
Gideon Saar
Cornell University - Samuel Curtis Johnson Graduate School of Management ( email )
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HOME PAGE: https://www.johnson.cornell.edu/Faculty-And-Research/Profile?id=gs25
Cornell SC Johnson College of Business ( email )
443 Sage Hall
Cornell University
Ithaca, NY 14853
United States