Transactions in futures markets

Informed or uninformed?

Alex Frino*, Jennifer Kruk, Andrew Lepone

*Corresponding author for this work

Research output: Contribution to journalArticle

11 Citations (Scopus)

Abstract

Using a proprietary data set from the Sydney Futures Exchange, this study reconciles an inconsistency in futures microstructure literature. One strand of the literature documents that single trades in futures markets contain information, whereas another strand finds that trade packages in futures markets do not contain information. This study controls for methodological and sample differences in examining the price impact of individual trades and trade packages. We find little evidence that transactions in futures markets contain information.

Original languageEnglish
Pages (from-to)1159-1174
Number of pages16
JournalThe Journal of Futures Markets
Volume27
Issue number12
DOIs
Publication statusPublished - Dec 2007
Externally publishedYes

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