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Date: 2014
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/303655
Description: This study investigates the determinants of liquidity and execution probability in an exchange operated dark pool. We analyse a unique set of data collated from the Australian Securities Exchange (ASX ... More
Reviewed: Reviewed
Date: 2014
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/303648
Description: This study measures the magnitude of execution costs of outright options and options which constitute strategies ("strategy-linked options"), and examines if any differences in execution costs between ... More
Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/228451
Description: This study examines the informational role of market makers in the S&P/ASX 200 CFD (CFD 200) market relative to other alternative index markets. The results reveal that the market for the SPI 200 Inde ... 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: 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/1959.14/229727
Description: This study investigates the impact of introducing a pure pro-rata algorithm on the liquidity of the market for Euribor futures contracts on NYSE LIFFE. Results indicate that the Euribor market experie ... 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: 2012
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/229734
Description: This paper examines the impact of naked short selling on equity markets where it is restricted to securities on an approved list. Consistent with Miller's (1977) intuition, stocks with the highest dis ... 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/1959.14/230048
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: 2010
Language: eng
Resource Type: conference paper
Identifier: http://hdl.handle.net/1959.14/294873
Description: This study is the first to examine intraday variations in quoted depth on the Nasdaq, a competitive dealer market. Consistent with prior literature, we document a negative association between the intr ... More
Reviewed: Reviewed
Date: 2010
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/218911
Description: This article is the first to examine liquidity and transaction costs in the European carbon futures market. Results indicate a dramatic improvement in liquidity and a subsequent reduction in transacti ... More
Reviewed: Reviewed
Date: 2010
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/274252
Description: This study re-examines the variation in selling prices between the auction and private treaty method of sales. Using sales data from five major Australian capital cities over a four year period, we es ... More
Reviewed: Reviewed
Date: 2010
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/229752
Description: This study investigates the impact of reducing the contract size threshold for offmarket trading on transaction costs in an options market. This study provides evidence that market makers compete more ... 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