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

Frino, Alex; Lepone, Andrew; Gerace, Dionigi

doi:10.2139/ssrn.1009060

Cited by 2 publications

(6 citation statements)

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“…Depth at the best bid and ask prices increases, a finding which is consistent with the results of Frino et al. (). We also find that the aggregated depth across all three levels increases but there is no significant change in the volatility for either contract.…”

Section: Resultssupporting

confidence: 91%

“…To investigate further, and consistent with the approach taken by prior studies (Comerton‐Forde, Frino, & Mollica, , Frino et al., ), we control for other determinants of the spread by estimating the following regression:

{italicEHS}_{t} = α_{0} + α_{1} {italicD}_{normalt} + α_{2} Log ({Volume}_{t}) + α_{3} {Volatility}_{italict} + ɛ_{italict}

where t indexes time (day t ); EHS t is the daily average EHS and is calculated as in Equation , and then averaged across all trades for day t ; D t is a dummy variable taking on the value of 0 prior to the change in trading regime and 1 otherwise; Log(Volume t ) is the natural logarithm of the total daily volume of contracts traded; and Volatility is defined as the natural logarithm of the ratio of the daily maximum price to the daily minimum price. The results from the estimation of for both the June and September contracts are provided in Table .…”

Section: Resultsmentioning

confidence: 99%

“…We examine separately the impact of the change on the near-dated and the next to near-dated futures contracts. 9 Our approach is different from that of Frino, Gerace, and Lepone (2008a). They study attributes of the near-dated contract over a six-month-period before and a six-month-period after their event date.…”

Section: Data and Approachmentioning

confidence: 99%

“…To investigate further, and consistent with the approach taken by prior studies (Comerton-Forde, Frino, & Mollica, 2005;Frino et al, 2008a), we control for other determinants of the spread by estimating the following regression:…”

Section: Daily Analysismentioning

confidence: 99%

“…The computerized trading system is SYCOM that is an open electronic limit order book. Orders are entered electronically and filled on the basis of price and time precedence rules (Frino et al, 2008a). The best three bid and ask quotes and the aggregate volume at each of these can be viewed by market participants.…”

Section: Appendixmentioning

confidence: 99%

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The Relation Between Market Liquidity and Anonymity in the Presence of Tick Size Constraints

Brown

Choo

Pinder

2012

Journal of Futures Markets

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In February 2004, the Sydney Futures Exchange removed broker identifiers from the electronic limit order book for interest rate futures contracts, with the stated objective of maintaining transparency and improving market participation and liquidity. We show how the Exchange's aims were generally met by documenting an increase in volume and frequency of trades and a decline in time‐weighted quoted spreads. Although daily effective spreads do not decline, intraday analysis demonstrates that there are improvements in effective spreads which are concentrated to those points in time where the bid–ask spread is not constrained by the size of the minimum tick, and where information asymmetries are present. © 2012 Wiley Periodicals, Inc. Jrl Fut Mark 34:56–73, 2014

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Section: Resultssupporting

confidence: 91%

{italicEHS}_{t} = α_{0} + α_{1} {italicD}_{normalt} + α_{2} Log ({Volume}_{t}) + α_{3} {Volatility}_{italict} + ɛ_{italict}

Section: Resultsmentioning

confidence: 99%

Section: Data and Approachmentioning

confidence: 99%

Section: Daily Analysismentioning

confidence: 99%

Section: Appendixmentioning

confidence: 99%

See 3 more Smart Citations

The Relation Between Market Liquidity and Anonymity in the Presence of Tick Size Constraints

Brown

Choo

Pinder

2012

Journal of Futures Markets

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Bond pricing with a surface of zero coupon yields

Murik

2012

Accounting & Finance

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We present a new method for consistent cross-sectional pricing of all traded bonds in the fixed income market. By applying thin plate regression splines (Wood, 2003) to bootstrapped zero coupon bond yields (Hagan and West, 2006), the method decomposes traded yields into a risk-free component plus premia for credit and liquidity risks, where the decomposition is consistent with the market valuations and underlying cash flows of the bonds. We apply the framework to end of quarter yield data from 2008 to 2011 on Australian dollar denominated semi-government, supranational and agency (SSA) bonds, and find that the surface provides an excellent fit to the underlying zero coupon yield curves. Further, the decomposition of selected yield time series and cross-sections demonstrates how credit premia increased for Australian SSA bonds through the Global Financial Crisis (GFC), but were counterbalanced by liquidity discounts as investors sought safe haven securities.

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

Cited by 2 publications

References 0 publications

The Relation Between Market Liquidity and Anonymity in the Presence of Tick Size Constraints

The Relation Between Market Liquidity and Anonymity in the Presence of Tick Size Constraints

Bond pricing with a surface of zero coupon yields

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