The Information Content of Undisclosed Limit Orders Around Broker Anonymity

This paper examines the impact of the submission of undisclosed limit orders and their short-term information content compared to similar disclosed orders. We also examine whether the abolishment of broker identifiers from trading screens on the Australian Securities Exchange affects the short-term information content of various order types. Results indicate that aggressively submitted undisclosed orders, compared to similar disclosed-limit orders, lead to significantly higher short-term price movements. The removal of broker identifiers does not provide consistent evidence of any changes in the short-term information content of large dollar volume orders. This suggests that disclosed orders provide more information to the market than do broker identifiers.