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Market Microstructure Effects on Volatility at the TAIFEX

Muthuswamy, Jayaram - 2020

This study examines whether changes in the frequency of market clearing or changes in trading hours on competing exchanges that use different auction systems affect the volatility of futures prices. In particular, this study exploits a natural experiment in the frequency of market clearing of...

Persistent link: https://www.econbiz.de/10012835134

Informational role of market makers : the case of exchange traded CFDs

Lepone, Andrew; Yang, Young Jin - In: Journal of empirical finance 23 (2013), pp. 84-92

Persistent link: https://www.econbiz.de/10010221775

The impact of market maker copetition on market quality : evidence from an options exchange

Aspris, Angelo; Frino, Alex; Lepone, Andrew - In: Australasian accounting business and finance journal : AABF 6 (2012) 5, pp. 23-46

Persistent link: https://www.econbiz.de/10010244999

The impact of a pro-rata algorithm on liquidity : evidence from the NYSE LIFFE

Lepone, Andrew; Yang, Jin Young - In: The journal of futures markets 32 (2012) 7, pp. 660-682

Persistent link: https://www.econbiz.de/10010218792

Determinants of liquidity and execution probability in exchange operated dark pool : evidence from the Australian Securities Exchange

He, William Peng; Lepone, Andrew - In: Pacific-Basin finance journal 30 (2014), pp. 1-16

Persistent link: https://www.econbiz.de/10010495691

Bid-ask bounce and the measurement of price behavior around block trades on the Australian Stock Exchange

Frino, Alex; Jarnecic, Elvis; Johnstone, David; Lepone, … - In: Pacific-Basin finance journal 13 (2005) 3, pp. 247-262

Persistent link: https://www.econbiz.de/10002908544

Transactions in futures markets : informed or uninformed?

Frino, Alex; Kruk, Jennifer; Lepone, Andrew - In: The journal of futures markets 27 (2007) 12, pp. 1159-1174

Persistent link: https://www.econbiz.de/10003627175

The determinants of the price impact of block trades : further evidence

Frino, Alex; Jarnecic, Elvis; Lepone, Andrew - In: Abacus : a journal of accounting, finance and business … 43 (2007) 1, pp. 94-106

Persistent link: https://www.econbiz.de/10003537526

The pricing and efficiency of Australian treasury bond futures

Frino, Alex; He, William Peng; Lepone, Andrew - In: Australasian accounting business and finance journal : AABF 8 (2014) 2, pp. 3-14

Persistent link: https://www.econbiz.de/10010520035

Pseudo market-makers, market quality and the minimum tick size

Lepone, Andrew; Wong, Jin Boon - In: International review of economics & finance : IREF 47 (2017), pp. 88-100

Persistent link: https://www.econbiz.de/10011740107