UNIVERSITY OF NEW SOUTH WALES National Honours Colloquium Paper “ INTERNATIONAL BROKER IDENTIFICATION POLICY CHANGES : IMPLICATIONS & ANALYSIS ” Student
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چکیده
This thesis will examine the issue of broker identification disclosure, in the limit order book of a stock exchange, from an international perspective, focusing on five natural experiments that have occurred in recent years. Euronext Paris, Euronext Brussels, the Tokyo Stock Exchange and the Australian Stock Exchange (ASX) have all shifted to broker identifier opacity, while the Korea Stock Exchange has shifted to transparency. Broker identification disclosure is a form of market transparency, and is a subject of heated debate. Neither the theoretical or empirical market microstructure literature has reached a consensus on the merits of broker identification opacity versus transparency. Using intra-day Reuters data collected on a number of stock exchanges around the world this thesis will examine the implications of broker identifier transparency and opacity on a variety of market quality measures, and attempt to reach a robust conclusion on the merits of transparency versus opacity, using a range of univariate and multivariate methods.
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تاریخ انتشار 2007