Limit order book, anonymity and market liquidity

Evidence from the Sydney Futures Exchange

Alex Frino*, Dionigi Gerace, Andrew Lepone

*Corresponding author for this work

Research output: Contribution to journalArticle

7 Citations (Scopus)

Abstract

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.

Original languageEnglish
Pages (from-to)561-573
Number of pages13
JournalAccounting and Finance
Volume48
Issue number4
DOIs
Publication statusPublished - Dec 2008
Externally publishedYes

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