Abstract
Unlike virtually all market microstructure research that is, of necessity, restricted to actual trades, we analyse the underlying orders prior to their disguise in the form of trades to examine trading cost implications for institutional investors and households separately. We investigate three unique policy changes conducted on Finnish NASDAQ OMX Helsinki stock market in March 2006, June 2008 and April 2009. We find for all participants that transaction costs substantially improve with an enhanced level of information disclosure. The reintroduction of ex post broker identities improved transaction costs by over 3.7 bps per order. Overall market volume declined by 12% (trade count, 30%) when ex ante broker identities were removed in the first event and by a further 8% (trade count, 18%) in the second when ex post identities were removed.
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