The Experts below are selected from a list of 12465 Experts worldwide ranked by ideXlab platform
Alex Frino - One of the best experts on this subject based on the ideXlab platform.
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Activity in Futures: does underlying market size relate to Futures trading volume?
Review of Quantitative Finance and Accounting, 2010Co-Authors: Alex Frino, Elvis Jarnecic, Hui ZhengAbstract: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 contracts traded on the Sydney Futures Exchange are investigated: the stock price index (SPI); the 90-day bank accepted bill (BAB); the 3-year bond; and the 10-year bond. An important outcome of this study is an identification of the fundamental drivers of trading volume in the Futures markets, which have largely gone undocumented in prior research. We find evidence that Futures trading volume is related to underlying market characteristics: the size of the Australian superannuation fund investments in equities (for the SPI), short term treasury notes (for the BAB), non-government bonds on issue (for the 3-year contract) and government bonds on issue (for the 10-year contract).
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Limit order book, anonymity and market liquidity: evidence from the Sydney Futures Exchange
Accounting and Finance, 2008Co-Authors: Alex Frino, Dionigi Gerace, Andrew LeponeAbstract: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.
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The house money effect and local traders on the Sydney Futures Exchange
Pacific-Basin Finance Journal, 2008Co-Authors: Alex Frino, Joel Grant, David JohnstoneAbstract:The "house money effect" describes the psychological tendency of investors to become increasingly risk-seeking immediately following monetary gains. We observe evidence consistent with this behavioral bias in the trades executed by professional Futures traders ("locals") on the Sydney Futures Exchange (SFE). Previous research demonstrates the house money effect among participants in laboratory settings but not among actual traders. By distinguishing qualitatively between gains and losses, rather than treating these as merely positive and negative values of a single psychological driver, we test for loss aversion and the house money effect simultaneously. Contrary to previous studies, no significant evidence is found of loss aversion.18 page(s
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Limit order book, anonymity and market liquidity: evidence from the Sydney Futures Exchange
Accounting & Finance, 2008Co-Authors: Alex Frino, Dionigi Gerace, Andrew LeponeAbstract: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.13 page(s
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The house money effect and local traders on the Sydney Futures Exchange
Pacific-basin Finance Journal, 2007Co-Authors: Alex Frino, Joel Grant, David JohnstoneAbstract:Abstract The “house money effect” describes the psychological tendency of investors to become increasingly risk-seeking immediately following monetary gains. We observe evidence consistent with this behavioral bias in the trades executed by professional Futures traders (“locals”) on the Sydney Futures Exchange (SFE). Previous research demonstrates the house money effect among participants in laboratory settings but not among actual traders. By distinguishing qualitatively between gains and losses, rather than treating these as merely positive and negative values of a single psychological driver, we test for loss aversion and the house money effect simultaneously. Contrary to previous studies, no significant evidence is found of loss aversion.
Elvis Jarnecic - One of the best experts on this subject based on the ideXlab platform.
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Activity in Futures: does underlying market size relate to Futures trading volume?
Review of Quantitative Finance and Accounting, 2010Co-Authors: Alex Frino, Elvis Jarnecic, Hui ZhengAbstract: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 contracts traded on the Sydney Futures Exchange are investigated: the stock price index (SPI); the 90-day bank accepted bill (BAB); the 3-year bond; and the 10-year bond. An important outcome of this study is an identification of the fundamental drivers of trading volume in the Futures markets, which have largely gone undocumented in prior research. We find evidence that Futures trading volume is related to underlying market characteristics: the size of the Australian superannuation fund investments in equities (for the SPI), short term treasury notes (for the BAB), non-government bonds on issue (for the 3-year contract) and government bonds on issue (for the 10-year contract).
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Analysis of the tick size and the impact of varying dollar ticks on market quality - evidence from the Sydney Futures Exchange
Australasian Accounting Business and Finance Journal, 2007Co-Authors: Andrew S Tan, Alex Frino, Elvis JarnecicAbstract:This paper investigates the relationship between the minimum price variation and market quality variables for 3 interest rate Futures contracts on the Sydney Futures Exchange. Intraday trade and quote data are obtained for the period 4 January 2000 and 1 February 2002, which includes the change in transparency on 19 January 2001. Analysis of the frequency distributions of bid and ask quote variations show a high frequency of these variations posted at 1 tick in the sample periods. Analysis of the quoted bid-ask spreads also show a high frequency of spreads posted at 1 tick. These evidence suggest that the tick sizes for these Futures contracts are too large. Examination of the relationships between dollar spreads and dollar ticks provide further evidence that dollar spreads are constrained by the tick size. Dollar spreads are found to be positively related to dollar ticks, average quoted depth and trade price volatility, and negatively related to traded volume. This journal article is available in Australasian Accounting, Business and Finance Journal: http://ro.uow.edu.au/aabfj/vol1/iss4/2 The Australasian Accounting Business & Finance Journal, December, 2007. Tan, Frino and Jarnecic: Analysis of Tick Size. Vol. 1, No. 4. Page 16. Analysis of the Tick Size and the Impact of Varying Dollar Ticks on Market Quality – Evidence from the Sydney Futures Exchange
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Limit order book transparency, execution risk, and market liquidity: Evidence from the Sydney Futures Exchange
Journal of Futures Markets, 2006Co-Authors: Luke Gareth Bortoli, Alex Frino, Elvis Jarnecic, David JohnstoneAbstract: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 increased limit order book disclosure from depth at the best bid and ask prices to depth at the three best bid and ask prices is examined. Evidence was found consistent with a change in trading behavior coinciding with the increase in pre‐trade transparency. Consistent with predictions of a theoretical model based on execution risk, a statistically significant decline in depth was found at the best quotes. There is little evidence of an increase in bid‐ask spreads. Further, the proportion of market orders exceeding depth at the best quotes increases in a transparent limit order book, reflecting a reduction in execution risk. The study concludes that in a transparent market, limit order traders charge market order traders a higher premium for execution certainty by withdrawing depth from the best quotes, but not by increasing bid‐ask spreads. © 2006 Wiley Periodicals, Inc. Jrl Fut Mark 26:1147–1167, 2006
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The impact of electronic trading on bid‐ask spreads: Evidence from Futures markets in Hong Kong, London, and Sydney
Journal of Futures Markets, 2004Co-Authors: Michael J. Aitken, Alex Frino, Amelia Hill, Elvis JarnecicAbstract: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 (LIFFE); the Sydney Futures Exchange (SFE); and the Hong Kong Futures Exchange (HKFE). These changes provide unique natural experiments to compare relative bid‐ask spreads of open outcry vs. electronically traded markets. This paper provides evidence of a decrease in bid‐ask spreads following the introduction of electronic trading, after controlling for changes in price volatility and trading volume. This provides support for the proposition that electronic trading can facilitate higher levels of liquidity and lower transaction costs relative to floor traded markets. However, bid‐ask spreads are more sensitive to price volatility in electronically traded markets, suggesting that the performance of electronic trading systems deteriorates during periods of information arrival. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:675–696, 2004
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An empirical analysis of the supply of liquidity by locals in Futures markets : evidence from the Sydney Futures Exchange
Pacific-basin Finance Journal, 2000Co-Authors: Alex Frino, Elvis JarnecicAbstract:Abstract 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 market participants. In fact, rather than act purely as market makers, locals as a group are almost as likely to demand as supply liquidity. Further, locals trading on the floor of the SFE are less likely to supply liquidity when bid–ask spreads, trading frequency and price volatility are high, as well as around information announcements. These findings are consistent with aggressive trading by locals on the basis of a short-lived information advantage. This study also documents considerable diversity in the propensity of locals to supply liquidity, finding that it is related to the quantity, frequency and average size of their trading activity.
Doojin Ryu - One of the best experts on this subject based on the ideXlab platform.
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A Tale of Two Index Futures: The Intraday Price Discovery and Volatility Transmission Processes between the China Financial Futures Exchange and the S
2013Co-Authors: Biao Guo, Qian Han, Maonan Liu, Doojin RyuAbstract:This is the first study to examine the intraday price discovery and volatility transmission processes between the Singapore Exchange and the China Financial Futures Exchange. Using one- and five-minute high-frequency data from May to November 2011, we find that China’s CSI 300 index Futures dominate Singapore’s A50 index Futures in both intraday price discovery and intraday volatility transmission processes. However, A50 Futures contracts also make a substantial contribution (26%-37%) in the price discovery process. These results have important implications for both traders and policymakers.
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A Tale of Two Index Futures: The Intraday Price Discovery Process between the China Financial Futures Exchange and the Singapore Exchange
2013Co-Authors: Biao Guo, Qian Han, Maonan Liu, Doojin RyuAbstract:This is the first study to examine the intraday price discovery process between the Singapore Exchange and the China Financial Futures Exchange. Using one- and five-minute high-frequency data from May to November 2011, we found that China’s CSI 300 index Futures dominated Singapore’s A50 index Futures in terms of the price discovery process. However, A50 Futures contracts also made a substantial contribution (26%-37%) to the price discovery process. A further division of the sample period into two sub-periods found that A50 Futures dominated the price discovery process from May to August 2011 and that CSI 300 Futures dominated the process from August to November 2011. These results have important implications for both traders and policymakers.
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A Tale of Two Index Futures: The Intraday Price Discovery and Volatility Transmission Processes Between the China Financial Futures Exchange and the Singapore Exchange
SSRN Electronic Journal, 2012Co-Authors: Biao Guo, Qian Han, Maonan Liu, Doojin RyuAbstract:This is the first study to examine the intraday price discovery and volatility transmission processes between the Singapore Exchange and the China Financial Futures Exchange. Using one- and five-minute high-frequency data from May to November 2011, the authors find that the Chinese Securities Index 300 index Futures dominate Singapore's A50 index Futures in both intraday price discovery and intraday volatility transmission. However, A50 Futures contracts also make a substantial contribution (26-37 percent) to the price discovery process. These results have important implications for both traders and policymakers.
Yu Chuan Huang - One of the best experts on this subject based on the ideXlab platform.
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The market microstructure and relative performance of Taiwan stock index Futures: a comparison of the Singapore Exchange and the Taiwan Futures Exchange
Journal of Financial Markets, 2004Co-Authors: Yu Chuan HuangAbstract:Abstract This study proposes to examine the relative performance of Taiwan Futures Exchange (TAIFEX) and Singapore Exchange Derivatives Trading Limited (SGX-DT) of the Taiwan Stock Index Futures markets by analyzing the intraday patterns of bid–ask spreads and by comparing the execution costs and depth of these two markets. The TAIFEX is an electronic call market, while the SGX-DT operates as a traditional open outcry continuous trading system. The empirical comparison of execution costs and depth of these two markets shows that, although the explicit transaction cost is higher for TAIFEX compared to SGX-DT, the quoted and effective spreads are relatively lower for TAIFEX. The results for information asymmetry components also suggest that the traditional open outcry continuous trading system is more vulnerable to asymmetric information. The market depth regressions results indicate that the electronic call market mechanism of TAIFEX is deeper than the traditional open outcry mechanism of SGX-DT. As the explicit transaction costs are higher for TAIFEX, the above results imply that the better performance of TAIFEX in comparison with SGX-DT is due to the differences in their market structures. This can partly explain why trading volume has gradually moved from the SGX-DT to the TAIFEX.
Dar-hsin Chen - One of the best experts on this subject based on the ideXlab platform.
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The Expiration Effects of Stock Index Derivatives: Empirical Evidence from the Taiwan Futures Exchange
Emerging Markets Finance and Trade, 2006Co-Authors: Heng-chih Chou, Wei Ning Chen, Dar-hsin ChenAbstract:Five index derivatives with the same expiration days, settlement days, and settlement systems have been consecutively traded on the Taiwan Futures Exchange (TAIFEX) since 1998. This paper examines the expiration effects of TAIFEX index derivatives on the underlying stock market between 1998 and 2002. Our empirical findings show no significant expiration effects on the expiration day, but evidence demonstrates that expiration effects have strengthened as more relative index derivatives are listed on the TAIFEX. Meanwhile, the expiration effects seem to shift to the opening of the settlement day. In general, the expiration effects in Taiwan are not as significant as those in U.S. markets but are stronger than those in the Hong Kong market. The special settlement procedures adopted by the TAIFEX may account for the difference.
