Exchange Initiatives and Market Efficiency: Evidence from the Australian Securities Exchange
in PhD Thesis from Finance Discipline Group, UTS Business School, University of Technology, Sydney
The stated objectives of most market regulators are to ensure the fair and efficient operation of capital markets. In this dissertation, the focus is on the latter regulatory objective. We define market efficiency as minimising transaction costs while maximising price discovery and assess the efficiency effects of 3 Australian Securities Exchange (ASX) market design initiatives. The first essay examines the effect of the broker anonymity rule on trading patterns. We find that following the introduction of broker anonymity, the price discovery process is inhibited as information asymmetry levels increase. We also determine that the need for stealth trading, identified by Frino et al. (2010 b), is reduced. The second essay assesses the market efficiency effects of the Equity Research Scheme. Consistent with the prior literature, we find the stocks exhibit greater informational efficiency as a result of the Scheme. In addition to increased price discovery, we find positive liquidity and price reaction effects. The third essay examines the liquidity and profitability effects of the ETF Marker Making Scheme. Hence, we support the fact that the scheme was effective in decreasing the bid-ask spread and increasing depth for selected stocks. Further analysis shows that market makers are net suppliers of liquidity; however, they are willing to sacrifice liquidity profits to make position-taking gains.
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
Our link check indicates that this URL is bad, the error code is: 404 Not Found
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:uts:finphd:1-2017
Access Statistics for this book
More books in PhD Thesis from Finance Discipline Group, UTS Business School, University of Technology, Sydney PO Box 123, Broadway, NSW 2007, Australia. Contact information at EDIRC.
Bibliographic data for series maintained by Duncan Ford ().