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Date: 2010
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/218936
Description: This study investigates the determinants of trading volume in the futures markets and focuses on underlying market characteristics as an explanation for futures trading volume. Four major futures cont ... More
Reviewed: Reviewed
Date: 2010
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/218930
Description: This study examines the profitability of local traders on floor-traded futures markets. Using unique data from the period of floor trading on the Sydney Futures Exchange, local income is decomposed in ... More
Reviewed: Reviewed
Date: 2009
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/218939
Description: This paper analyzes large retail trades using an event study approach. A major finding in studies of this nature is an immediate reversal on the trade subsequent to the large transaction, for both lar ... More
Reviewed: Reviewed
Date: 2007
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/219340
Description: This article extends previous literature which examines the determinants of the price impact of block trades on the Australian Stock Exchange. As previous literature suggests that liquidity exhibits i ... More
Reviewed: Reviewed
Date: 2006
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/219337
Description: This study provides new evidence regarding the effect of limit order book disclosure on trading behavior. The natural experiment affected by the Sydney Futures Exchange in January 2001, when it increa ... More
Reviewed: Reviewed
Date: 2006
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/266027
Description: This paper examines the source of price discovery in the Australian dollar currency market. The time-varying relationship between changes in quotes posted by cash market dealers and changes in currenc ... More
Reviewed: Reviewed
Date: 2006
Subject Keyword: limit orders | options
Language: eng
Resource Type: book chapter
Identifier: http://hdl.handle.net/1959.14/267500
Description: Previous studies of the limit order book report that low depths accompany wide spreads and that spreads widen and depths fall in response to higher volume, but some postulate a positive relationship b ... More
Date: 2005
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/219310
Description: This paper analyses the price behavior surrounding block transactions on the Australian Stock Exchange. Previous research documents a price reversal following block sales and a price continuation foll ... More
Reviewed: Reviewed
Date: 2005
Language: eng
Resource Type: book
Identifier: http://hdl.handle.net/1959.14/230002
Description: 112 page(s)
Date: 2004
Subject Keyword: Automation | Brokerage | Commission rates | Futures
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/219301
Description: This paper provides new evidence on the impact of electronic trading on brokerage commissions by investigating a sample period that covers the period of transition from floor to electronic trading on ... More
Reviewed: Reviewed
Date: 2004
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/219298
Description: During 1999 and 2000, three major futures exchanges transferred trading in stock index futures from open outcry to electronic markets: the London International Financial Futures and Options Exchange ( ... More
Reviewed: Reviewed
Date: 2000
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/267109
Description: The Chicago Mercantile Exchange altered the algorithm governing trade execution in the Eurodollar futures contract on its electronic trading system on September 20, 1998, when it moved from price and ... More
Reviewed: Reviewed
Date: 2000
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/219411
Description: Contrary to the received view of market makers in theoretical literature, this study provides direct evidence that locals on the Sydney Futures Exchange (SFE) do not trade exclusively as passive marke ... More
Reviewed: Reviewed
Date: 1997
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/267142
Description: This article documents and provides explanations for intraday patterns in returns for the Share Price Index (SPI) futures contract traded on the Sydney Futures Exchange (SFE). Consistent with overseas ... More
Reviewed: Reviewed
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