We show that broker identities are important for price formation. We use the removal of broker identities by the ASX on November 28th 2005 as a natural experiment and compare the information signal of broker identities before and after its removal. We find that broker identities have significant...

We consider the role of special orders in informed traders' order submission strategies and their effect on the market price discovery process. Special orders, such as Fill-or-Kill and All-or-Nothing orders, are not entered in the order book; instead, they are executed immediately. This means...

This paper examines the feedback effect between trading in financial markets and bank loan contracting. We find that banks charge higher loan rates for borrowers with higher short selling activities. This result is robust to various identification tests and robustness checks. We further find...

As a consequence of recent technological advances and the proliferation of high-frequency trading and other forms of algorithmic trading, the cost of trading in financial markets has irrevocably changed. One important change relates to how trading affects prices; this is known as price impact....

As a consequence of recent technological advances and the proliferation of algorithmic and high frequency trading, the cost of trading in financial markets has irrevocably changed. One important change relates to how trading affects prices; known as price impact. Price impact represents the...

We study high-frequency trading (HFT) activities and their consequent price impacts on the ASX around RBA announcement. RBA announcement provides an ideal setting for studying the speed advantage of high-frequency traders (HFTs), as the announcement has significant impact on stock prices and...

We investigate the impact of market transparency on the interaction between fast traders and uninformed (retail) order flow. Using the switch to an anonymous trading platform on the Australian Securities Exchange as an exogenous shock to market transparency, we find that the informational...

Purpose – This paper aims to establish the relation between corporate governance – as represented by investor protection at both the legal and firm levels – and stock market liquidity. Design/methodology/approach – This paper avails of the unique features of Hong Kong- and China-based...

Purpose – The purpose of this paper is to investigate the immediate impact of firm-specific announcements on the trading volume of individual and institutional investors on the Australian Securities Exchange (ASX), during a period when the market becomes fragmented. Design/methodology/approach...

This paper investigates the influence of information asymmetry on the cross-sectional variation of volume-return relation. We find that the dynamic volume-return relation within medium-size trades has the most significant response to the degree of information asymmetry. We also show that the...