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]
dc.contributor.author | Brailsford, Tim | |
---|---|---|
dc.contributor.author | Frino, Alex | |
dc.contributor.author | Hodgson, Allan | |
dc.contributor.author | West, Andrew | |
dc.date.accessioned | 2002-05-31 | |
dc.date.accessioned | 2004-05-19T11:50:24Z | |
dc.date.accessioned | 2011-01-05T08:43:28Z | |
dc.date.available | 2004-05-19T11:50:24Z | |
dc.date.available | 2011-01-05T08:43:28Z | |
dc.date.created | 1999 | |
dc.identifier.issn | 1042-444X | |
dc.identifier.uri | http://hdl.handle.net/1885/40686 | |
dc.identifier.uri | http://digitalcollections.anu.edu.au/handle/1885/40686 | |
dc.description.abstract | 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 and futures markets. The paper then focuses on the period surrounding the move by the Australian stock exchange to automated trading. After the introduction of automated trading, we find a significant change in the information transfer process between the two markets. The findings are consistent with the hypothesis that automated trading results in a richer and more timely information set which accelerates the price discovery process. However, the evidence is not overwhelming and alternative explanations exist. | |
dc.format.extent | 97736 bytes | |
dc.format.mimetype | application/pdf | |
dc.language.iso | en_AU | |
dc.publisher | Elsevier | |
dc.source | Journal of Multinational Financial Management | |
dc.subject | market automation | |
dc.subject | price discovery | |
dc.subject | lead-lag | |
dc.subject | futures | |
dc.title | Stock Market Automation and the Transmission of Information Between Spot and Futures Markets | |
dc.type | Working/Technical Paper | |
local.description.refereed | no | |
local.identifier.citationmonth | jul | |
local.identifier.citationvolume | V.9 | |
local.identifier.citationyear | 1999 | |
local.identifier.eprintid | 392 | |
local.rights.ispublished | yes | |
local.identifier.absfor | 150302 - Business Information Systems | |
local.identifier.ariespublication | MigratedxPub22732 | |
local.type.status | Published Version | |
local.contributor.affiliation | ANU | |
local.contributor.affiliation | School of Finance and Applied Statistics | |
local.citation | Working Paper Series in Finance 99-03 | |
local.bibliographicCitation.startpage | 247 | |
local.bibliographicCitation.lastpage | 264 | |
dc.date.updated | 2015-12-12T09:16:51Z | |
local.identifier.scopusID | 2-s2.0-0033228124 | |
Collections | ANU Research Publications |
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99-03.pdf | 95.45 kB | Adobe PDF |
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