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Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/275087
Description: This paper examines the order flow diversion hypothesis using cross-listed Singapore Exchange (SGX) futures contracts to test if the existence of an off-shore market causes the order migration of futu ... More
Reviewed: Reviewed
Date: 2011
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/218918
Description: This study examines market behaviour around trading halts associated with information releases on the Australian Stock Exchange, which operates an open electronic limit order book. Using the Lee, Read ... More
Reviewed: Reviewed
Date: 2010
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/218917
Description: This paper has two purposes. First, we examine the relationship between daily price volatility and trading activity one year before and after a change in contract size by examining the results of cont ... 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: 2009
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/218933
Description: Prior literature which examines the use of derivatives by investment managers does not discern between different types of derivative trading strategies. This study is the first to examine and gather d ... More
Reviewed: Reviewed
Date: 2008
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/219270
Description: Several studies find that bid-ask spreads for stocks listed on the NYSE are lower than for stocks listed on NASDAQ. While this suggests that specialist market structures provide greater liquidity than ... More
Reviewed: Reviewed
Date: 2008
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/219276
Description: 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 ... More
Reviewed: Reviewed
Date: 2005
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/219307
Description: This paper examines execution costs and the impact of trade size for stock index futures using price-volume transaction data from the London International Financial Futures and Options Exchange. Consi ... More
Reviewed: Reviewed
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
Subject Keyword: Anonymity | Limit orders | Transparency
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/219325
Description: This paper examines the impact of broker anonymity on bid-ask spreads in order driven markets. Previous theoretical research predicts that limit order anonymity results in deeper and more liquid marke ... More
Reviewed: Reviewed
Date: 2004
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/219282
Description: Behavioral studies of individual traders' decisions indicate that the "disposition effect" - the propensity of traders to ride losses yet realize gains - is motivated by psychological rather than rati ... More
Reviewed: Reviewed
Date: 2003
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/219390
Description: Fleming et al. [J. Futures Markets 16 (1996) 353] hypothesise that 'price discovery will tend to occur first in the lowest-cost market, as information-based trades are executed where they produce the ... More
Reviewed: Reviewed
Date: 2001
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/219402
Description: This paper examines intraday futures market behaviour around major scheduled macroeconomic information announcements on the Sydney Futures Exchange (SFE). Prior literature analysing intraday price beh ... More
Reviewed: Reviewed
Date: 2001
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/219405
Description: Chang et al. [Journal of Business 68 (1) (1995) 61] examine the impact of the closure of the New York Stock Exchange (NYSE) on S&P500 stock index futures traded on the Chicago Mercantile Exchange. The ... 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