Three essays on securities market transparency and design

dc.contributor.advisor Swan, Peter Krug, Juliane 2022-02-15T22:43:27Z 2022-02-15T22:43:27Z 2021
dc.description.abstract This dissertation focuses on exogenous regulatory changes, which allow us to provide quantitative causal evidence on the impact of pre-and post-trade transparency and alternative order books on market quality. First, we study how increasing informational asymmetry due to declining broker ID disclosure affects market liquidity for individual and institutional investors and their trading behaviour at the trading level and on an order level, respectively. We investigate three unique policy changes regarding broker ID disclosure conducted on the Helsinki stock market. We find that transaction costs overall improve with an enhanced level of information disclosure. The reintroduction of ex-post broker identities improved transaction costs by over 36.8bps at market level and 15.6bps for buyer-initiated orders. Overall market volume declined by 0.1% when ex-post broker identities were removed and increased by 0.02% when ex-post identities were reintroduced. Second, we explore how trading via systematic internaliser (SI), investment firms dealing on their own account outside a regulated market and are a counterparty, not a trading venue, relates to overall market quality. We are the first to provide quantitative causal results, showing that on an aggregate level, SI trading, driven by limit-order SI trading, seems to improve market quality by enhancing competition in the limit order book. Limit-order SI trading lowers transaction costs significantly. Autocorrelation and variance-ratio improve at a highly significant level. The findings are essential to evaluate SI trading on a quantitative basis, allowing regulators to evaluate decisions and provide a foundation for future discussions on internalised trading. Last, we examine the level of informed trading in SI and periodic call auction trading and how it drives price discovery on the lit trading venues. Both forms of trading offer less pre-trade transparency than the central-limit-order book but are much more transparent than dark pools. Literature has yet failed to quantify how those forms of trading contribute to price discovery. We show the level of informed trading depends on the liquidity of the individual security. For constituents of the FTSE 100 index, periodic auction trading is the most informed form of trading after CLOB trading, whereas SI limit-order trading is the least informative.
dc.language English
dc.language.iso en
dc.publisher UNSW, Sydney
dc.rights CC BY 4.0
dc.subject.other market microstructure
dc.subject.other transaction costs
dc.subject.other informed trading
dc.subject.other informational asymmetry
dc.subject.other MiFID II
dc.subject.other systematic internalizer
dc.subject.other periodic auctions
dc.subject.other broker id disclosure
dc.subject.other market transparency
dc.subject.other HFT
dc.title Three essays on securities market transparency and design
dc.type Thesis
dcterms.accessRights open access
dcterms.rightsHolder Krug, Juliane
dspace.entity.type Publication
unsw.relation.faculty Business School of Banking & Finance
unsw.subject.fieldofresearchcode 350202 Finance
unsw.subject.fieldofresearchcode 350203 Financial econometrics
unsw.subject.fieldofresearchcode 350204 Financial institutions (incl. banking)
unsw.subject.fieldofresearchcode 350205 Household finance and financial literacy
unsw.subject.fieldofresearchcode 3801 Applied economics
unsw.subject.fieldofresearchcode 380102 Behavioural economics
unsw.subject.fieldofresearchcode 380106 Experimental economics
unsw.subject.fieldofresearchcode 380107 Financial economics
unsw.subject.fieldofresearchcode 380201 Cross-sectional analysis
unsw.subject.fieldofresearchcode 380202 Econometric and statistical methods
unsw.subject.fieldofresearchcode 380204 Panel data analysis
unsw.subject.fieldofresearchcode 380205 Time-series analysis
unsw.subject.fieldofresearchcode 3802 Econometrics
unsw.subject.fieldofresearchcode 380299 Econometrics not elsewhere classified
unsw.thesis.degreetype PhD Doctorate
Original bundle
Now showing 1 - 1 of 1
Thumbnail Image
public version.pdf
2.56 MB
Resource type