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An Empirical Analysis of Undisclosed Limit Orders Submissions Around Earnings Announcements on the Australian Securities Exchange

This study investigates the information content of undisclosed limit orders before earning announcements for stocks traded on the Australian Securities Exchange (ASX). We also examine the impact of the removal of broker identities on the informativeness of undisclosed limit orders. We document permanent price impact following the submissions of undisclosed limit orders in both transparent and anonymous market. We find no evidence that informed traders use undisclosed limit orders more often than other types in pre-anonymity market. After the brokers’ ID is removed, informed traders prefer to use undisclosed limit orders over disclosed limit orders.