This article analyses the role of floor brokers in the supply of liquidity on the Australian Stock Exchange Derivatives market. Floor brokers have valuable order execution skills because of their information advantage over off‐floor traders and their ability to mitigate some problems related...

This study proposes the dispersion in daily net initiated order flow across brokers as a proxy for the level of noise trading in a stock, and applies this proxy to test some basic implications of market microstructure theory. We use data from the Australian Stock Exchange, a computerized limit...

Companies planning a private placement typically gauge the interest of potential buyers before the offering is publicly announced. Regulators are concerned with this practice, called wall-crossing, as it might invite insider trading, especially when the potential investors are hedge funds. We...

Purpose – The purpose of this study is to use a portfolio-time-series approach to examine the impact of five important political events on the value of politically connected firms in Sri Lanka. Design/methodology/approach – This study examines five major political events to test if political...

This thesis examines the linkages between the bank bill market and the bank bill futures market in New Zealand using intraday data. The thesis is motivated primarily by the dearth of research on inter-market linkages in interest rate markets using high frequency data.The thesis examines four...