This paper examines the order submission strategies and supply of liquidity by high-frequency participants versus the remainder of participants in the limit order book. The results show that high-frequency participants submit orders at multiple prices in the limit order book, concentrated at or...

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 this paper, we examine market share drivers of a prominent alternative trading venue (Chi-X) in an international context. We find that Chi-X׳s market share is negatively related to trading fees and latency, while positively related to liquidity relative to primary exchanges. Venue market...

This paper examines the investment performance of active Australian bond funds and the impact of investor fund flows on portfolio returns. Security selection and market timing performance are evaluated using both unconditional models and conditional-performance evaluation techniques that account...

This study documents the intraday lead/lag relation between trading volumes of stocks and stock options traded on the ASX and ASX Options Market respectively. A stock lead of up to 15 minutes is initially documented. Differences in intraday lead/lag relations may occur because of the different...