The Effects of Trade Transparency in the London Stock Exchange: A Summary

Posted: 15 Sep 1999

See all articles by John Board

John Board

London School of Economics & Political Science (LSE) - Department of Accounting and Finance

Charles Sutcliffe

University of Reading - ICMA Centre

Date Written: January 1995

Abstract

The quote-driven London Stock Exchange currently delays the publication of large trades for 90 minutes, while very large trades may be delayed for up to 5 days. In addition, market makers can trade with each other on an order-driven inter- dealer broker market that is inaccessible to other traders. This study examines the effects of the current opacity in the London equity market using data for a two year period (1992-94) from the UK equity and equity options markets. Data on 2.4 million trades in 42 stocks was used to compare the quoted and traded bid-ask spreads for different types and sizes of trade, movements in the inventories of market makers just before and 90 minutes after large trades, the price impact of large trades and the effect of large equity trades on volume in the corresponding stock option.

JEL Classification: G15

Suggested Citation

Board, John and Sutcliffe, Charles M., The Effects of Trade Transparency in the London Stock Exchange: A Summary (January 1995). Available at SSRN: https://ssrn.com/abstract=6135

John Board (Contact Author)

London School of Economics & Political Science (LSE) - Department of Accounting and Finance ( email )

Houghton Street
London WC2A 2AE
United Kingdom
+44 171 955 7420 (Phone)

Charles M. Sutcliffe

University of Reading - ICMA Centre ( email )

Whiteknights Park
P.O. Box 242
Reading RG6 6BA
United Kingdom

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