Does anonymity matter in electronic limit order markets?

• 成果类型: Article
• 署名作者: Foucault, Thierry; Moinas, Sophie; Theissen, Erik
• 署名单位: Hautes Etudes Commerciales (HEC) Paris; Universite de Toulouse; University of Bonn; University of Cologne
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhm027
• 发表日期: 2007
• 页码: 1707
• 关键词: information; book; volume; entry

摘要

We develop a model in which limit order traders possess volatility information. We show that in this case the size of the bid-ask spread is informative about future volatility. Moreover, if volatility information is in part private, we establish that (i) the size of the bid-ask spread and (ii) its informativeness about future volatility should change in the same direction when limit order traders' identifiers stop being disclosed. We test these predictions using data from the Paris Bourse. As expected, we find that the average quoted spread and its informativeness are significantly smaller when limit order traders' identifiers are concealed. These findings suggest that the limit order book is a channel for volatility information.