Price Formation and Transparency on the London Stock Exchange

Saporta, Victoria; Trebeschi, Giorgio; Vila, Anne

doi:10.2139/ssrn.162628

Cited by 8 publications

(4 citation statements)

References 10 publications

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“…Related literature on dark pools (e.g., Boulatov and George, 2013) also suggests that compared the displayed markets, hidden orders improve liquidity and market quality. On the contrary, Gemmill (1996) and Saporta et al (1999) investigate the impact of changes in the data publication regime such as changed timing of reporting for large block trades on the London Stock Exchange, and find no change in liquidity.…”

Section: Mifid and Liquiditymentioning

confidence: 99%

Market in Financial Instruments Directive (MiFID), stock price informativeness and liquidity

Aghanya

Agarwal

Poshakwale

2020

Journal of Banking & Finance

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Section: Mifid and Liquiditymentioning

confidence: 99%

Market in Financial Instruments Directive (MiFID), stock price informativeness and liquidity

Aghanya

Agarwal

Poshakwale

2020

Journal of Banking & Finance

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“…This is particularly true in the debate on broker anonymity, where the case against increased pre-trade transparency is prevalent (Foucault, Moinas and Theissen, 2007;Simaan, Weaver and Whitcomb, 2003;Comerton-Forde, Frino and Mollica, 2005;Desgranges and Foucault, 2005;Rindi, 2008). The benefits of increased post-trade transparency have similarly been questioned in several studies that do not find that changes in the data publication regimesuch as changed timing of reportingleads to liquidity improvements (Gemmill, 1996;Saporta, Trebeschi and Vila, 1999;Board and Sutcliffe, 1995).…”

Section: Background Information 21 Literature Reviewmentioning

confidence: 99%

Subscribing to transparency

Nielsson

Hong

et al. 2014

Journal of Banking & Finance

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The paper empirically explores how more trade transparency affects market liquidity. The analysis takes advantage of a unique setting in which the Shanghai Stock Exchange offered more trade transparency to market participants subscribing to a new software package. First, the results show that the additional data disclosure increased trading activity, but also increased transactions costs through wider bid-ask spreads. Thus, in contrast to popular policy belief, the paper finds that more transparency need not improve market liquidity. Second, the paper finds a particularly strong immediate liquidity impact accompanied by altered trading behavior, which suggests a significant impact on institutional traders subscribing relatively early. Lastly, since the effective level of market transparency is bound to depend on how many traders are subscribing to the data, the study can empirically establish the functional form between market-wide transparency and liquidity. The relationship is non-monotonic, which can explain the lack of consensus in the existing literature where each empirical study is naturally confined to specific parts of the transparency domain.

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“…2 Previous work on liquidity in the LSE has mostly spread in five directions ( Fig. 1): i) intraday time series properties of spreads, volatility and volume (Abhyankar, Ghosh, Levin, & Limmack, 1997;Cai, Hudson, & Keasey, 2004), ii) the estimation of the components of the bid-ask spread (Saporta, Trebeschi, & Vila, 1999;Menyah & Paudyal, 1996;Menyah & Paudyal, 2000;Levin & Wright, 2004) iii), International Review of Financial Analysis 19 (2010) 214-221 2 Until the October 1997, the LSE was a quote-driven market that was operating under the SEAQ trading system. Market makers were obliged to post bid and ask quotes, along with the trading depth of their quotes.…”

Section: Introductionmentioning

confidence: 99%