Duong, Huu Nhan; Kalev, Petko S. - In: Journal of International Financial Markets, … 30 (2014) C, pp. 205-219
We investigate the effect of broker anonymity on the information content of the limit order book on the Australian … Stock Exchange. We argue that the move to anonymity has stronger impact on institutional than individual investors. We … document that anonymity increases the informativeness of institutional limit orders about future volatility but has little …