Prior literature which examines the use of derivatives by investment managers does not discern between different types of derivative trading strategies. This study is the first to examine and gather data on a particular type of derivative trading strategy undertaken by investment managers. We...

This paper examines the impact of a reduction in the minimum price increment on liquidity and execution costs in a futures market setting. In 2006, the Sydney Futures Exchange halved the minimum tick in the 3 Year Commonwealth Treasury Bond Futures. Results indicate that bid-ask spreads are...

Several studies find that bid-ask spreads for stocks listed on the NYSE are lower than for stocks listed on NASDAQ. While this suggests that specialist market structures provide greater liquidity than competing dealer markets, the nature of trading on the NYSE, which comprises a specialist...

This paper analyzes large retail trades using an event study approach. A major finding in studies of this nature is an immediate reversal on the trade subsequent to the large transaction, for both large purchases and large sales. This reversal is inconsistent with the overwhelming majority of...

This study examines the impact of the removal of broker mnemonics on the Sydney Futures Exchange. Early research finds that a decrease in transparency reduces liquidity in the market, whereas more recent research finds that reduced transparency improves market quality. Results of the present...

This paper examines the order flow diversion hypothesis using cross-listed Singapore Exchange (SGX) futures contracts to test if the existence of an off-shore market causes the order migration of futures volume from the domestic to foreign markets. Using structural equation systems estimation...