کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
964030 | 1479120 | 2013 | 22 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
An international trend in market design: Endogenous effects of limit order book transparency on volatility, spreads, depth and volume
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: An international trend in market design: Endogenous effects of limit order book transparency on volatility, spreads, depth and volume An international trend in market design: Endogenous effects of limit order book transparency on volatility, spreads, depth and volume](/preview/png/964030.png)
چکیده انگلیسی
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 affected? Accounting 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, indicating that the aggregate effect of the design change is positive.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of International Financial Markets, Institutions and Money - Volume 27, December 2013, Pages 202-223
Journal: Journal of International Financial Markets, Institutions and Money - Volume 27, December 2013, Pages 202-223
نویسندگان
Thu Phuong Pham, P. Joakim Westerholm,