: In this paper we empirically analyze whether the degree of trader anonymity is related to the probability of information-based trading. We use data from the German stock market where nonanonymous traditional floor based exchanges co-exist with an anonymous computerized trading system. We extend the model of Easley / Kiefer / O'Hara / Paperman (1996) to allow for simultaneous estimation for two parallel markets. We find that the probability of informed trading is significantly lower in the floor based trading system. We further document that the size of the spread and the adverse selection component are positively related to the estimated probabilities of informationbased trading. JEL classification: G10, G14, G15 Keywords: Anonymity; informed trading; multi-market trading * The first author gratefully acknowledges financial support from the Landeszentralbank Hessen and the third author gratefully acknowledges financial support from the TMR grant "Financial Market Efficiency and ...
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