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Date: 2010
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/230055
Description: This research is funded by the Capital Markets Cooperative Research Centre. The authors would like to thank the Australian Stock Exchange for the provision of data and the Securities Industry Research ... More
Reviewed: Reviewed
Date: 2010
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/218912
Description: This study examines the adjustment process in the interest rate futures market following large block trades, by analyzing changes in the levels of quoted prices, bid-ask spreads, and trading activity. ... 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/1959.14/218930
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: 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/1959.14/218917
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/1959.14/230351
Description: Our study highlights the importance of cash equitising fund flows using derivative instruments. It indicates funds that do not cash equitise experience diminishing returns as fund flow increases, whil ... More
Reviewed: Reviewed
Date: 2008
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/219273
Description: This study is the first to examine the intraday behavior of quoted depth in a competitive dealer market. In sharp contrast to previous research that focuses on specialist markets, quoted depth is lowe ... More
Reviewed: Reviewed
Date: 2008
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/218960
Description: This study examines the effects of large trades executed by outside customer on the prices of futures contracts traded on the Chicago Mercantile Exchange. We find that, on average, large buyer-initiat ... More
Reviewed: Reviewed
Date: 2008
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/219267
Description: 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 rec ... 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: book chapter
Identifier: http://hdl.handle.net/1959.14/222291
Description: This chapter examines the price impact of large trades in futures markets across 14 stock index futures contracts in 11 different international markets. On the balance, we find that part of the initia ... More