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High-frequency volatility and liquidity

Hautsch, Nikolaus; Jeleskovic, Vahidin - In: Applied quantitative finance, (pp. 379-397). 2009

Persistent link: https://www.econbiz.de/10003746425

The impact of stock index futures trading on daily returns seasonality : a multicountry study

Faff, Robert W.; McKenzie, Michael D. - In: The journal of business : B 75 (2002) 1, pp. 95-125

Persistent link: https://www.econbiz.de/10001641883

Impact of ASIC’s Cost Recovery Regulation on High Frequency Trading and Market Quality in Australia

Enemuwe, N. Robert - 2016

January 1, 2012, to examine the impact of the regulation on high frequency trading (HFT) and market quality in Australia. We …

Persistent link: https://www.econbiz.de/10013003721

The impact of trading halts on liquidity and price volatility : evidence from the Australian stock exchange

Frino, Alex; Lecce, Steven; Segara, Reuben - In: Pacific-Basin finance journal 19 (2011) 3, pp. 298-307

Persistent link: https://www.econbiz.de/10009271683

Order aggressiveness and order book dynamics

Hall, Anthony D.; Hautsch, Nikolaus - In: Empirical economics : a journal of the Institute for … 30 (2005) 4, pp. 973-1005

Persistent link: https://www.econbiz.de/10003233831

Returns, volatility, and liquidity on the ASX : undisclosed versus disclosed limit orders

Allen, David E.; Cheng, Alexander Shu-sing; … - In: Stock market liquidity : implications for market …, (pp. 227-245). 2008

Persistent link: https://www.econbiz.de/10003650538

Price impact of corporate bond trading : evidence from the australian securities exchange

Frino, Alex; Lepone, Andrew; Lepone, Grace - In: Review of Pacific Basin financial markets and policies 22 (2019) 3, pp. 1950020-1-1950020-22

Persistent link: https://www.econbiz.de/10012156159

Asymmetric relationship between order imbalance and realized volatility : evidence from the Australian market

Bissoondoyal-Bheenick, Emawtee; Brooks, Robert; Do, … - In: International review of economics & finance : IREF 62 (2019), pp. 309-320

Persistent link: https://www.econbiz.de/10012205552

The Impact of Trading Halts on Liquidity and Price Volatility : Evidence From the Australian Stock Exchange

Frino, Alex - 2020

This study examines market behaviour around trading halts associated with information releases on the Australian Stock Exchange, which operates an open electronic limit order book. Using the Lee, Ready and Seguin (1994) pseudo-halt methodology, we find trading halts increase both volume and...

Persistent link: https://www.econbiz.de/10012835133

Market intraday momentum in Australia

Ho, Tu; Lv, Jin Roc; Schultz, Emma - In: Pacific-Basin finance journal 65 (2021), pp. 1-10

Persistent link: https://www.econbiz.de/10013252821