Journal article
The Impact of High-Frequency Trading on Australian Futures Market Liquidity and Efficiency
The Journal of Derivatives, Vol.Summer, p.jod.2020.1.097
2020
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Abstract
This paper examines the co-location of high-frequency trading (HFT) facilities and capacity of the Australian futures market to absorb information following major scheduled macroeconomic announcements. The findings show that the co-location of HFT facilities has increased trading activities and liquidity across the four futures contracts investigated. The four futures contracts also demonstrate a market capacity to absorb information from major announcements efficiently. For instance, the majority of price adjustments are impounded within 30 seconds following major announcements. We conclude that abnormal trading profits are unlikely to be generated by HFTs in the Australian futures market.
Details
- Title
- The Impact of High-Frequency Trading on Australian Futures Market Liquidity and Efficiency
- Creators
- Panha Heng (Author) - Southern Cross UniversityScott J Niblock (Author) - Southern Cross UniversityJennifer L Harrison (Author) - Southern Cross UniversityHansi Hu (Author) - University of Wollongong
- Publication Details
- The Journal of Derivatives, Vol.Summer, p.jod.2020.1.097
- Publisher
- Portfolio Management Research
- Identifiers
- 991012831299202368
- Academic Unit
- School of Business and Tourism; Management; Faculty of Business, Law and Arts
- Language
- English
- Resource Type
- Journal article