Limit Order Book, Anonymity and Market Liquidity: Evidence from the Sydney Futures Exchange

13 Pages Posted: 3 Nov 2008

See all articles by Alex Frino

Alex Frino

The University of Sydney - Discipline of Finance; Financial Research Network (FIRN)

Dionigi Gerace

The University of Sydney

Andrew Lepone

University of Sydney; Financial Research Network (FIRN)

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.

JEL Classification: G12, G13, G15

Suggested Citation

Frino, Alex and Gerace, Dionigi and Lepone, Andrew, Limit Order Book, Anonymity and Market Liquidity: Evidence from the Sydney Futures Exchange. Accounting & Finance, Vol. 48, No. 4, pp. 561-573, December 2008, Available at SSRN: https://ssrn.com/abstract=1291209 or http://dx.doi.org/10.1111/j.1467-629X.2008.00265.x

Alex Frino (Contact Author)

The University of Sydney - Discipline of Finance ( email )

Futures Research Centre
P.O. Box H58
Sydney NSW
Australia
+61 2 9299 1809 (Phone)
+61 2 9299 1830 (Fax)

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

HOME PAGE: http://www.firn.org.au

Dionigi Gerace

The University of Sydney ( email )

University of Sydney
Sydney, NSW 2006
Australia

Andrew Lepone

University of Sydney ( email )

University of Sydney
Sydney NSW 2006
Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

HOME PAGE: http://www.firn.org.au

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