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Stock Market Automation and the Transmission of Information Between Spot and Futures Markets

Brailsford, Tim; Frino, Alex; Hodgson, Allan; West, Andrew

Description

This paper examines the impact of automated trading in the stock market on the information transmission between the stock and futures markets. This issue is of particular relevance given the trend of exchanges to introduce automated trading. We focus on the Australian market as its institutional features and recent changes in trading systems have created an ideal environment for examining this issue. We initially find evidence of a substantial bidirectional information flow between the stock...[Show more]

CollectionsANU Research Publications
Type: Working/Technical Paper
URI: http://hdl.handle.net/1885/40686
http://digitalcollections.anu.edu.au/handle/1885/40686
Source: Journal of Multinational Financial Management

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