Effects of electronic trading on the Hang Seng Index futures market

Joseph K W FUNG, Donald Lien, Yiuman Tse*, Yiu Kuen Tse

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

15 Citations (Scopus)

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.

Original languageEnglish
Pages (from-to)415-425
Number of pages11
JournalInternational Review of Economics and Finance
Volume14
Issue number4
DOIs
Publication statusPublished - 2005

Scopus Subject Areas

  • Finance
  • Economics and Econometrics

User-Defined Keywords

  • Electronic trading
  • Hang Seng Index futures

Fingerprint

Dive into the research topics of 'Effects of electronic trading on the Hang Seng Index futures market'. Together they form a unique fingerprint.

Cite this