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Date: 2013
Language: eng
Resource Type: conference paper
Identifier: http://hdl.handle.net/1959.14/274841
Description: This study examines the impact of corporate earnings announcements on trading activity and speed of price adjustment, analyzing algorithmic and non–algorithmic trades during the immediate period pre– ... More
Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/218732
Description: This paper examines the choice of trade size by an illegal insider. Previous literature (i.e. Meulbroek 1992) tends to focus on the price impact of such a trader. Using a unique data set hand-collecte ... More
Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/274234
Description: This study involves a detailed discussion on the estimation of intraday time-varying volume synchronised probability of informed trading (VPIN), a proxy for levels of informed trading and flow toxicit ... More
Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: conference paper
Identifier: http://hdl.handle.net/1959.14/230472
Description: This study examines the price effects of investment-grade corporate bond transactions on the Australian Securities Exchange. Results indicate that both purchases and sales of exchange traded corporate ... More
Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: conference paper
Identifier: http://hdl.handle.net/1959.14/230465
Description: This study examines the price behaviour surrounding both director trades, and associated market announcements, for the Australian market. Using a sample of director trades executed between 2005 and 20 ... More
Reviewed: Reviewed
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: 2012
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/218756
Description: This study examines whether order flow originating from overseas contributes to price discovery in domestic futures markets. This issue is examined using a unique dataset for stock index futures trade ... More
Reviewed: Reviewed
Date: 2012
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/218755
Description: This study assesses whether the sale method in residential real estate markets - auction versus private treaty - is a determinant of sale price. Utilising a larger and richer dataset than previous res ... More
Reviewed: Reviewed
Date: 2012
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/274237
Description: This paper examines the dynamic relationship between competition, liquidity provision, and market structure. By examining the entry and exit of market makers in the Australian Options market, this stu ... More
Reviewed: Reviewed
Date: 2011
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/218927
Description: This paper examines the mispricing of Australian stock index futures. Exogenous and endogenous price volatility is confirmed to have a positive impact on the mispricing spread, after filtering out pre ... More
Reviewed: Reviewed
Date: 2011
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/218923
Description: Using data from fourteen equity markets, this study empirically examines the impact of the 2008 short-selling bans on market quality. Evidence indicates that restrictions on short-selling lead to arti ... More
Reviewed: Reviewed
Date: 2011
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/218924
Description: Purpose - Using data for actual insider trading cases prosecuted by the Securities and Exchange Commission, the paper aims to investigate whether insiders trade strategically to avoid detection. Desig ... More
Reviewed: Reviewed
Date: 2011
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/230048
Description: Prior research attributes the observed negative relation between execution costs and trade size in opaque markets to two factors—information asymmetry and broker-client relationships. We provide evide ... 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/1959.14/218936
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