Effects of Electronic Trading on the Hang Seng Index Futures Market

Author

Joseph FUNG, Hong Kong Baptist University
Donald LIEN, University of Texas at San Antonio
Yiuman TSE, University of Texas at San Antonio
Yiu Kuen TSE, Singapore Management UniversityFollow

Publication Type

Working Paper

Publication Date

1-2003

Abstract

This paper investigates the effects of the migration of the Hang Seng Index futures from open-outcry trading to electronic trading. Using trade data over a window of six months we find evidence that, after the migration, the bid-ask spread of the futures contract decreases and the contribution of the futures price in information transmission increases. Furthermore, the asymmetry in volatility spillover reduces and the open interests of the futures market become smaller. These results suggest that the anonymity in trading and the higher speed of order execution in the electronic trading system attract informed traders to the futures market and increase the information flow.

Keywords

Electronic trading, Hang Seng Index futures, Hong Kong

Discipline

Asian Studies | Econometrics | Finance

Research Areas

Econometrics

First Page

1

Last Page

20

Publisher

SMU Economics and Statistics Working Paper Series, No. 02-2003

City or Country

Singapore

Citation

FUNG, Joseph; LIEN, Donald; TSE, Yiuman; and TSE, Yiu Kuen. Effects of Electronic Trading on the Hang Seng Index Futures Market. (2003). 1-20.
Available at: https://ink.library.smu.edu.sg/soe_research/780

Copyright Owner and License

Authors

Comments

Published in International Review of Economics and Finance, 2005, https://doi.org/10.1016/j.iref.2004.03.004