References
- Arellano, M., & Bond, S. (1991). Some tests of specification for panel data: Monte Carlo evidence and an application to employment equations. Review of Economic Studies, 58(2), 277–297. https://doi.org/10.2307/2297968
- Bloomfield, R., & O’Hara, M. (1999). Market transparency: Who wins and who loses? Review of Financial Studies, 12(1), 5–35. https://doi.org/10.1093/rfs/12.1.5
- Boulatov, A., & George, T. (2013). Hidden and displayed liquidity in securities markets with informed liquidity providers. Review of Financial Studies, 26(8), 2096–2137. https://doi.org/10.1093/rfs/hhs123
- Comerton-Forde, C., Frino, A., & Mollica, V. (2005). The impact of limit order anonymity on liquidity: Evidence from Paris, Tokyo and Korea. Journal of Economics and Business, 57(6), 528–540. https://doi.org/10.1016/j.jeconbus.2005.05.001
- Comerton-Forde, C., Putniņš, T., & Tang, K. (2011). Why do traders choose to trade anonymously? Journal of Financial and Quantitative Analysis, 46(4), 1025–1049. https://doi.org/10.1017/S0022109011000214
- Comerton-Forde, C., & Tang, K. (2009). Anonymity, liquidity and fragmentation. Journal of Financial Markets, 12(3), 337–367. https://doi.org/10.1016/j.finmar.2008.12.001
- Degryse, H., de Jong, F., & van Kervel, V. (2015). The Impact of dark trading and visible fragmentation on market quality. Review of Finance, 19(4), 1587–1622. https://doi.org/10.1093/rof/rfu027
- Dennis, P., & Sandås, P. (2019). Does trading anonymously enhance liquidity? Journal of Financial and Quantitative Analysis, 1–54. https://doi.org/10.1017/S0022109019000747
- Eom, K. S., Ok, J., & Park, J. (2007). Pre-trade transparency and market quality. Journal of Financial Markets, 10(4), 319–341. https://doi.org/10.1016/j.finmar.2007.06.001
- Foucault, T., Moinas, S., & Theissen, E. (2007). Does anonymity matter in electronic limit order markets? Review of Financial Studies, 20(5), 1707–1747. https://doi.org/10.1093/rfs/hhm027
- Frino, A., Gerace, D., & Lepone, A. (2008). Limit order book, anonymity and market liquidity: Evidence from the Sydney futures exchange. Accounting&Finance, 48(4), 561–573. https://doi.org/10.1111/j.1467-629X.2008.00265.x
- Frino, A., Johnstone, D., & Zheng, H. (2010). Anonymity, stealth trading, and the information content of broker identity. The Financial Review, 45(3), 501–522. https://doi.org/10.1111/j.1540-6288.2010.00258.x
- Gemmill, G. (1994). Transparency and liquidity: A study of block trades on the London stock exchange under different publication rules. Journal of Finance, 51(5), 1765–1790. https://doi.org/10.1111/j.1540-6261.1996.tb05225.x
- Grammig, J., Schiereck, D., & Theissen, E. (2001). Knowing me, knowing you: Trader anonymity and informed trading in parallel markets. Journal of Financial Markets, 4(4), 385–412. https://doi.org/10.1016/S1386-4181(01)00018-0
- Harris, L. E. (1994). Minimum price variations, discrete bid–ask spreads, and quotation sizes. Review of Financial Studies, 7(1), 149–178. https://doi.org/10.1093/rfs/7.1.149
- He, Y., Nielsson, U., Guo, H., & Yang, J. (2014). Subscribing to transparency. Journal of Banking & Finance, 44, 189–206. https://doi.org/10.1016/j.jbankfin.2014.04.009
- Huddart, S., Hughes, J. S., & Levine, C. B. (2001). Public disclosure and dissimulation of insider trades. Econometrica, 69(3), 665–681. https://doi.org/10.1111/1468-0262.00209
- Huddart, S, Hughes, J. S, & Levine, C. B. (2001). Public disclosure and dissimulation of insider trades. Econometrica, 69(3), 665-681. doi:10.1111/ecta.2001.69.issue-3
- Kyle, A. S. (1985). Continuous auctions and insider trading. Econometrica, 53(6), 1315–1335. https://doi.org/10.2307/1913210
- Lepone, A., Segara, R., & Wong, B. (2012). Does Broker Anonymity hide informed traders? In J. Choi & H. Sami (Eds.), Transparency and governance in a global world (pp. 287–317). Emerald Group Publishing.
- Lepone, A., & Mistry, M. (2011). The information content of undisclosed limit orders around broker anonymity. Australasian Accounting Business&Finance Journal, 5(1), 5–18. https://ro.uow.edu.au/cgi/viewcontent.cgi?article=1124&context=aabfj
- Linnainmaa, J. T., & Saar, G. (2012). Lack of anonymity and the inference from order flow. Review of Financial Studies, 25(5), 1414–1456. https://doi.org/10.1093/rfs/hhs002
- Madhavan, A. (1995). Consolidation, fragmentation, and the disclosure of trading information. Review of Financial Studies, 8(3), 579–603. https://doi.org/10.1093/rfs/8.3.579
- Madhavan, A. (1996). Security prices and market transparency. Journal of Financial Intermediation, 5(3), 255–283. https://doi.org/10.1006/jfin.1996.0015
- Madhavan, A., Porter, D., & Weaver, D. (2005). Should securities markets be transparent? Journal of Financial Markets, 8(3), 265–287. https://doi.org/10.1016/j.finmar.2005.05.001
- Martínez, M. A., Rubio, G., & Tapia, M. (2005). Understanding the ex-ante cost of liquidity in the limit order book: A note. Revista Economía Aplicada, 38(13), 95–109. https://www.redalyc.org/pdf/969/96915886004.pdf
- McInish, T. H., & Wood, R. A. (1992). An analysis of intraday patterns in bid/ask spreads for NYSE stocks. Journal of Finance, 47(2), 753–764. https://doi.org/10.1111/j.1540-6261.1992.tb04408.x
- Meling, T. 2018. Anonymous trading in equities. Available at SSRN 2656161
- Næs, R., & Skjeltorp, J. A. (2006). Order book characteristics and the volume–volatility relation: Empirical evidence from a limit order market. Journal of Financial Markets, 9(4), 408–432. https://doi.org/10.1016/j.finmar.2006.04.001
- Nickell, S. (1981). Biases in dynamic models with fixed effects. Econometrica, 49(6), 1417–1426. https://doi.org/10.2307/1911408
- O`Hara, M. (1995). Market microstructure theory. Blackwell Business.
- Pagano, M., & Röell, A. (1996). Transparency and liquidity: A comparison of auction and dealer markets with informed trading. Journal of Finance, 51(2), 579–611. https://doi.org/10.1111/j.1540-6261.1996.tb02695.x
- Perotti, P., & Rindi, B. (2006). Market for information and identity disclosure in an experimental open limit order book. Economic Notes, 35(1), 97–119. https://doi.org/10.1111/j.0391-5026.2006.00160.x
- Pham, T., & Westerholm, J. (2020). A survey of research into broker identity and limit order book transparency. Australasian Accounting Business and Finance Journal, 9 (1). In Press.
- Porter, D., & Weaver, D. (1998). Post-trade transparency on Nasdaq’s national market system. Journal of Financial Economics, 50(2), 231–252. https://doi.org/10.1016/S0304-405X(98)00037-3
- Poskitt, R., Marsden, A., Nguyen, N., & Shen, J. (2011). The introduction of broker anonymity on the New Zealand exchange. Pacific Accounting Review, 23(1), 34–51. https://doi.org/10.1108/01140581111130652
- Rindi, B. (2008). Informed traders as liquidity providers: Anonymity, liquidity and price formation. Review of Finance, 12(3), 497–532. https://doi.org/10.1093/rof/rfm023
- Roodman, D. (2009). How to do xtabond2: An introduction to “difference” and “system” GMM in stata. Stata Journal, 9(1), 86–136. https://doi.org/10.1177/1536867X0900900106
- Simaan, Y., Weaver, D., & Whitcomb, D. (2003). Market maker quotation behavior and pre-trade transparency. Journal of Finance, 53(3), 1247–1267. https://doi.org/10.1111/1540-6261.00565
- Stoll, H. R. (2000). Presidential address: Friction. Journal of Finance, 55(4), 1479–1514. https://doi.org/10.1111/0022-1082.00259
- Tapia, M. (2017). Fragmentation vs. consolidation in Spanish stock exchange. A note. Spanish Review of Financial Economics, 15(1), 33–39. https://doi.org/10.1016/j.srfe.2017.02.001
- Theissen, E. (2003). Trader anonymity, price formation and liquidity. Review of Finance, 7(1), 1–26. https://doi.org/10.1023/A:1022579423978