The Effects of Post-Trade Transparency in Equity Markets: Evidence from MiFID Large Trade Disclosure Rules

Category: Finance Brown Bag Seminar
When: 15 Juni 2016
, 02:00
 - 03:00
Where: HoF E.20
Speaker: Stefan Scharnowski, SAFE and University of Mannheim

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

Abstract:
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.”

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