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...

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 into liquidity and position‐taking profit components. Locals on the trading floor are found to...

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...

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...

In US securities fraud cases, the Market Model-based event study has been a required component of any calculation of damages. However, in Australia, there is no authority regarding the appropriate method for estimating damages for breaches of continuous disclosure provisions, a branch of...

Recent local price growth explains differences in search behavior across prospective homebuyers. Those experiencing higher growth in their postcode of residence search more broadly across locations and house characteristics, without changing attention devoted to individual sales listings....

This paper analyses the price behaviour surrounding block transactions on the Australian Stock Exchange. Previous research documents a price reversal following block sales and a price continuation following block purchases - an 'asymmetry' in the price reaction to block sales and block...

This paper provides new evidence on the magnitude and determinants of brokerage commissions in futures markets using a sample of brokerage fees charged to transactions on the Sydney Futures Exchange. Commission fees charged on futures trades average 0.002 percent of transaction value. This is up...

There have been a number of investigations of the individual characteristics of the limit order book (Lee, Mucklow, and Ready, 1993; Harris, 1994; Bruno, Hillion, and Spatt, 1995). Lee,Mucklow, and Ready report that wide spreads are accompanied by low depths and that spreads widen and depths fall in...

The organization structure of global banks affects how they respond to liquidity shocks and matters for international shock transmission. Liquidity shocks to global banks induces a fire sales of securities by their international branches that rely on parent banks for funding, but not by their...