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Large trades and intraday futures price behavior

Frino, Alex; Bjursell, Johan; Wang, George H. K.; … - In: The journal of futures markets 28 (2008) 12, pp. 1147-1181

Persistent link: https://www.econbiz.de/10003773147

Intraday behavior of market depth in a competitive dealer market : a note

Frino, Alex; Lepone, Andrew; Wearin, Grant - In: The journal of futures markets 28 (2008) 3, pp. 294-307

Persistent link: https://www.econbiz.de/10003699393

The determinants of the price impact of block trades : further evidence

Frino, Alex; Jarnecic, Elvis; Lepone, Andrew - In: Abacus : a journal of accounting, finance and business … 43 (2007) 1, pp. 94-106

Persistent link: https://www.econbiz.de/10003537526

The impact of naked short selling on the securities lending and equity market

Lecce, Steven; Lepone, Andrew; McKenzie, Michael D.; … - In: Journal of financial markets 15 (2012) 1, pp. 81-107

Persistent link: https://www.econbiz.de/10009356612

Determinants of liquidity and execution probability in exchange operated dark pool : evidence from the Australian Securities Exchange

He, William Peng; Lepone, Andrew - In: Pacific-Basin finance journal 30 (2014), pp. 1-16

Persistent link: https://www.econbiz.de/10010495691

The information content of undisclosed limit orders around broker anonymity

Lepone, Andrew; Mistry, Mitesh - In: Australasian accounting business and finance journal : AABF 5 (2011) 1, pp. 5-18

Persistent link: https://www.econbiz.de/10009273829

Short-sales constraints and market quality : evidence from the 2008 short-sales bans

Frino, Alex; Lecce, Steven; Lepone, Andrew - In: International review of financial analysis 20 (2011) 4, pp. 225-236

Persistent link: https://www.econbiz.de/10009295682

Bid-ask bounce and the measurement of price behavior around block trades on the Australian Stock Exchange

Frino, Alex; Jarnecic, Elvis; Johnstone, David; Lepone, … - In: Pacific-Basin finance journal 13 (2005) 3, pp. 247-262

Persistent link: https://www.econbiz.de/10002908544

Determinants of Liquidity and Execution Probability in Exchange Operated Dark Pool : Evidence from the Australian Securities Exchange

He, Peng William - 2012

This study investigates the determinants of liquidity and execution probability in an operated dark pool. We analyze a unique set of data collated from the Australian Securities Exchange (ASX) that allows the identification trades and orders in its Centre Point dark pool. This study contributes...

Persistent link: https://www.econbiz.de/10013113366

The Impact of Closing Call Auction on Liquidity and Price Discovery Process : An Analysis on the Stock Exchange of Hong Kong

Chan, Ka Nok - 2011

In 2008 The Hong Kong stock exchange introduced a closing call auction, which was subsequently removed in March 2009 after instances of market manipulation1. This paper examines the impact of the introduction and suspension of the closing call auction on market quality. Our empirical analysis...

Persistent link: https://www.econbiz.de/10013121582