Title

Effects of Electronic Trading on the Hang Seng Index Futures Market

Publication Type

Journal Article

Publication Date

2005

Abstract

This investigation of the switch from open-outcry trading to electronic trading on the Hang Seng Index (HSI) futures contract reveals that the bid–ask spread narrows and the futures price plays more of a role in information transmission. Factors, such as anonymity in trading and fast order execution in electronic trading, attract informed traders to the futures market, enhancing the information flow. Our results provide support for the worldwide trend of transforming open-outcry markets into electronic trading platforms

Keywords

Electronic trading; Hang Seng Index futures

Discipline

Econometrics | Finance

Research Areas

Econometrics

Publication

International Review of Economics and Finance

Volume

14

Issue

4

First Page

415

Last Page

425

ISSN

1059-0560

Identifier

10.1016/j.iref.2004.03.004

Publisher

Elsevier

Creative Commons License

Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.

Additional URL

http://dx.doi.org/10.1016/j.iref.2004.03.004

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