Journal article
Market Structure and Trader Anonymity: An Analysis of Insider Trading
Journal of financial and quantitative analysis, Vol.38(3), pp.591-610
09/01/2003
DOI: 10.2307/4126733
Abstract
This paper examines the degree of anonymity—the extent to which a trader is recognized as informed—on alternative market structures. We find evidence that is consistent with less anonymity on the NYSE specialist system compared to the NASDAQ dealer system. Specifically, when corporate insiders trade medium-sized quantities (500–9,999 shares inclusive), NYSE listed stocks exhibit larger changes in proportional effective spreads than NASDAQ stocks. Taken together, these findings are consistent with Barclay and Warners (1993) contention that stealth (medium-sized) trades are more likely based on private information and insider trades are more transparent on the NYSE specialist system relative to the NASDAQ dealer system. The results support the hypothesis by Benveniste, Marcus, and Wilhelm (1992) that the unique relationship between specialists and floor brokers on the NYSE leads to less anonymity.
Details
- Title: Subtitle
- Market Structure and Trader Anonymity: An Analysis of Insider Trading
- Creators
- Jon A. Garfinkel - * jon-garfinkel@uiowa.edu, University of Iowa, Department of Finance, Henry B. Tippie College of Business, 108 PBB, Iowa City, IA 52242M. Nimalendran - * nimal@notes.cba.ufl.edu, University of Florida, College of Business Administration, Department of Finance, Insurance and Real Estate, Gainesville, FL 32611–7160.
- Resource Type
- Journal article
- Publication Details
- Journal of financial and quantitative analysis, Vol.38(3), pp.591-610
- Publisher
- Cambridge University Press
- DOI
- 10.2307/4126733
- ISSN
- 0022-1090
- eISSN
- 1756-6916
- Number of pages
- 20
- Language
- English
- Date published
- 09/01/2003
- Academic Unit
- Finance
- Record Identifier
- 9984380553602771
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