Frino, Alex; Gerace, Dionigi; and Lepone, Andrew, 2008, Limit order book, anonymity and market liquidity: evidence from the Sydney Futures Exchange, Accounting and Finance, 48(4), 561-573.
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.