The Effects of Post-Trade Transparency in Equity Markets: Evidence from MiFID Large Trade Disclosure Rules
Author: Stefan Scharnowski, Goethe University (SAFE and University of Mannheim), Christian Westheide (SAFE and University of Mannheim).
Title: The Effects of Post-Trade Transparency in Equity Markets: Evidence from MiFID Large Trade Disclosure Rules
Exploiting annual stock-specific adjustments to large trade reporting delays permissible under the Markets in Financial Instruments Directive (MiFID), this is the first paper to study the effects of reporting obligations of over-the-counter block trades on market quality in public limit order books. We find that post-trade transparency regulations in today's equity markets matter. The rules are effective at limiting reporting delays and, in particular, an increase in post-trade transparency leads to a decrease in liquidity. There is also some evidence that more restrictive reporting obligations lead to lower volatility of open-close returns. Altogether, it appears that current regulations with respect to delayed trade reporting are not too permissible.”