The relation between market liquidity and anonymity in the presence of tick size constraints

Christine Brown, Astrophel CHOO, Sean Pinder*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

Abstract

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.

Original languageEnglish
Pages (from-to)56-73
Number of pages18
JournalJournal of Futures Markets
Volume34
Issue number1
DOIs
Publication statusPublished - Jan 2014

Scopus Subject Areas

  • Accounting
  • Business, Management and Accounting(all)
  • Finance
  • Economics and Econometrics

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