𝔖 Bobbio Scriptorium
✦   LIBER   ✦

The impact of lunchtime closure on market behaviour: evidence from the Sydney Futures Exchange

✍ Scribed by Alex Frino; Roland Winn

Book ID
108514111
Publisher
John Wiley and Sons
Year
2001
Tongue
English
Weight
348 KB
Volume
41
Category
Article
ISSN
0810-5391

No coin nor oath required. For personal study only.

πŸ“œ SIMILAR VOLUMES

Slippage in futures markets: Evidence fr
Slippage in futures markets: Evidence from the Sydney Futures Exchange
✍ Alex Frino; Teddy Oetomo πŸ“‚ Article πŸ“… 2005 πŸ› John Wiley and Sons 🌐 English βš– 128 KB

## Abstract This article examines the market‐impact cost of trades executed in futures markets, which is commonly referred to as __slippage__. With the use of a unique data set provided by the Sydney Futures Exchange, this article documents that slippage costs incurred in executing packages of trad

Limit order book transparency, execution
Limit order book transparency, execution risk, and market liquidity: Evidence from the Sydney Futures Exchange
✍ Luke Bortoli; Alex Frino; Elvis Jarnecic; David Johnstone πŸ“‚ Article πŸ“… 2006 πŸ› John Wiley and Sons 🌐 English βš– 169 KB

## Abstract 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 t

Impact of Liquidity on the Futures-Cash
Impact of Liquidity on the Futures-Cash Basis: Evidence from the Indian Market
✍ PALANI-RAJAN KADAPAKKAM; UMESH KUMAR πŸ“‚ Article πŸ“… 2012 πŸ› John Wiley and Sons 🌐 English βš– 797 KB

Arbitragers’ activities are constrained by market liquidity. In turn, arbitrage activity may trigger order imbalances adversely affecting liquidity. We examine this issue by analyzing the link between the futures‐cash basis and bid–ask spreads using intraday data on single stock futures (SSFs) contr