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An international trend in market design: Endogenous effects of limit order book transparency on volatility, spreads, depth and volume
Citation
Pham, TP and Westerholm, PJ, An international trend in market design: Endogenous effects of limit order book transparency on volatility, spreads, depth and volume, Journal of International Financial Markets, Institutions and Money, 27 pp. 202-223. ISSN 1042-4431 (2013) [Refereed Article]
Copyright Statement
Copyright 2013 Elsevier B.V.
Official URL: http://dx.doi.org/10.1016/j.intfin.2013.09.0...
DOI: doi:10.1016/j.intfin.2013.09.006
Abstract
Following other leading international securities markets, the Tokyo Stock Exchange (TSE) has adopted a publicly displayed but anonymous limit order book, and we ask: how is market quality afected? Accountng for fixed effects and endogeneity, we find increased volatility and higher order book depth at the best bid and ask prices, while total depth is not significantly impacted. This predicts more competitive order strategies in a trading system with anonymous orders but with more visible price levels. Spreads are found to be unaffected by the market design change, in contradiction to previous literature. Complementing the literature, we find volume increases, indicatng that the aggregate effect of the design change is positive.
Item Details
| Item Type: | Refereed Article |
|---|---|
| Keywords: | Market quality; Limit order book; Transparency |
| Research Division: | Economics |
| Research Group: | Applied economics |
| Research Field: | Financial economics |
| Objective Division: | Economic Framework |
| Objective Group: | Macroeconomics |
| Objective Field: | Fiscal policy |
| UTAS Author: | Pham, TP (Dr Phuong Pham) |
| ID Code: | 87744 |
| Year Published: | 2013 |
| Web of Science® Times Cited: | 1 |
| Deposited By: | Economics and Finance |
| Deposited On: | 2013-12-04 |
| Last Modified: | 2017-01-23 |
| Downloads: | 0 |
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