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
Citation
Fung, Joseph; Lien, Donald; TSE, Yiuman; and TSE, Yiu Kuen.
Effects of Electronic Trading on the Hang Seng Index Futures Market. (2005). International Review of Economics and Finance. 14, (4), 415-425. Research Collection School Of Economics.
Available at: https://ink.library.smu.edu.sg/soe_research/453
Creative Commons 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