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Determinants of Liquidity and Execution Probability in Exchange Operated Dark Pool : Evidence from the Australian Securities Exchange

He, Peng William - 2012

This study investigates the determinants of liquidity and execution probability in an operated dark pool. We analyze a unique set of data collated from the Australian Securities Exchange (ASX) that allows the identification trades and orders in its Centre Point dark pool. This study contributes...

Persistent link: https://www.econbiz.de/10013113366

The impact of naked short selling on the securities lending and equity market

Lecce, Steven; Lepone, Andrew; McKenzie, Michael D.; … - In: Journal of financial markets 15 (2012) 1, pp. 81-107

Persistent link: https://www.econbiz.de/10009356612

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

The relationship between satellite and home market volumes : evidence from cross-listed Singapore futures contracts

Frino, Alex; Harris, Frederick H. deB.; Lepone, Andrew; … - In: Pacific-Basin finance journal 24 (2013), pp. 301-311

Persistent link: https://www.econbiz.de/10010346764

The information content of undisclosed limit orders around broker anonymity

Lepone, Andrew; Mistry, Mitesh - In: Australasian accounting business and finance journal : AABF 5 (2011) 1, pp. 5-18

Persistent link: https://www.econbiz.de/10009273829

Short-sales constraints and market quality : evidence from the 2008 short-sales bans

Frino, Alex; Lecce, Steven; Lepone, Andrew - In: International review of financial analysis 20 (2011) 4, pp. 225-236

Persistent link: https://www.econbiz.de/10009295682

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

Large trades and intraday futures price behavior

Frino, Alex; Bjursell, Johan; Wang, George H. K.; … - In: The journal of futures markets 28 (2008) 12, pp. 1147-1181

Persistent link: https://www.econbiz.de/10003773147

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