The article examines the impact of transaction costs on the trading strategy of informed institutional investors in a sequential trading market where traders can choose to transact a large or a small amount of stock. The analysis shows how the trading strategy of informed investors and the price...

<section xml:id="fut21663-sec-0001"> This study examines commonality in liquidity for stock index futures markets. We report strong evidence of commonality in global liquidity for nine index futures contracts over a 10‐year time period extending October 2002 to September 2012. Our results are robust to expiry effects and tests...</section>

This paper extends previous research which has examined the market impact of large transactions in bull and bear markets by examining the information effects of trades. Previous research has demonstrated that the information effects of buy trades are greater than the information effects of sell...

Listed companies and institutional investors have called on market regulators to introduce mechanisms to curb high-frequency (HF) trading in financial markets. In this paper we suggest relative tick size is one such mechanism. We investigate for a non-fragmented market two HF trading proxies:...

This study empirically examines the determinants of bid-ask spreads using a time series approach. Consistent with cross-sectional models in the literature, time-series analysis shows that bid-ask spreads for most ASX300 stocks exhibit a negative relationship with trading activity and a positive...

This study re-examines the variation in selling prices between the auction and private treaty method of sales. Using sales data from five major Australian capital cities over a four year period, we estimate a hedonic pricing model. Results indicate that for house sales, auctions lead to greater...

This paper analyses price effects of block trades for the 30 stocks that comprise the Dow Jones Industrial Average for the period January 1993 to October 2001. Previous research shows prices revert following sales, but remain high after buys, creating an asymmetry between block purchases and...