Introduction of electronic trading in index futures : volatility and volume effects

Gannon, Gerard 2009, Introduction of electronic trading in index futures : volatility and volume effects, in Proceedings of the 1st International Conference on Finance, Business & Accounting 2009, Universiti Tun Abdul Razak, Kuala Lumper, Malaysia, pp. 1-12.

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Title Introduction of electronic trading in index futures : volatility and volume effects
Author(s) Gannon, Gerard
Conference name International Conference on Finance, Business & Accounting (1st : 2009 : Kuala Lumper, Malaysia)
Conference location Kuala Lumper, Malaysia
Conference dates 28-30 December, 2009
Title of proceedings Proceedings of the 1st International Conference on Finance, Business & Accounting 2009
Editor(s) [Unknown]
Publication date 2009
Conference series International Conference on Finance, Business and Accounting
Start page 1
End page 12
Publisher Universiti Tun Abdul Razak
Place of publication Kuala Lumper, Malaysia
Keyword(s) regulatory intervention
structural breaks
micro structure effects
Summary There is continuing debate in the US over full introduction of electronic trading in those index futures contracts that are still traded at the CME via open outcry. Since the late 1990s major international exchanges trading index futures contracts have converted to full electronic trading. Recent empirical studies have focused on effects on bid/ask spreads and related price volatility following these changes. We take a different approach and investigate and test for structural change in conditional volatility and volume effects following the shift to electronic trading in the Australian Share Price Index futures contract. Multiple Switching point GARCH models are employed with the data sampled at 5, 15 and 30-minute intervals from transaction records supplied by the Sydney Futures Exchange. There is significant evidence of structural changes in both the persistence of volatility shocks and simultaneous volume effects following the change to screen trading in this futures market.
Language eng
Field of Research 150303 Corporate Governance and Stakeholder Engagement
Socio Economic Objective 970115 Expanding Knowledge in Commerce, Management, Tourism and Services
HERDC Research category E1 Full written paper - refereed
Persistent URL http://hdl.handle.net/10536/DRO/DU:30023838

Document type: Conference Paper
Collections: Faculty of Business and Law
School of Accounting, Economics and Finance
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