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.