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Limit order book, anonymity and market liquidity: evidence from the Sydney Futures Exchange
Author(s) -
Frino Alex,
Gerace Dionigi,
Lepone Andrew
Publication year - 2008
Publication title -
accounting and finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.645
H-Index - 49
eISSN - 1467-629X
pISSN - 0810-5391
DOI - 10.1111/j.1467-629x.2008.00265.x
Subject(s) - market liquidity , futures contract , treasury , transparency (behavior) , bond , open outcry , monetary economics , business , electronic trading , futures market , price discovery , financial economics , economics , financial system , market impact , order (exchange) , algorithmic trading , market microstructure , finance , alternative trading system , geography , computer science , computer security , archaeology
This study examines the impact of the removal of broker mnemonics on the Sydney Futures Exchange. Early research finds that a decrease in transparency reduces liquidity in the market, whereas more recent research finds that reduced transparency improves market quality. Results of the present study indicate an improvement in liquidity after the removal of broker mnemonics. There is a significant increase in quoted depth and trading volume, and a significant decrease in quoted spreads in the 90 day Bank Accepted Bill, 3 year Treasury Bond and 10 year Treasury Bond Futures. This improvement in liquidity is robust to the length of the event window around the structural change and trading in a control market.