Effects of electronic trading on the Hang Seng Index futures market

Joseph K. W. Fung; Donald Lien; Yiuman Tse; Yiu Kuen Tse

doi:10.1016/j.iref.2004.03.004

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 journal › Journal article › peer-review

17 Citations (Scopus)

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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 language	English
Pages (from-to)	415-425
Number of pages	11
Journal	International Review of Economics and Finance
Volume	14
Issue number	4
DOIs	https://doi.org/10.1016/j.iref.2004.03.004
Publication status	Published - Dec 2005

Scopus Subject Areas

Finance
Economics and Econometrics

User-Defined Keywords

Electronic trading
Hang Seng Index futures

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10.1016/j.iref.2004.03.004

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Cite this

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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.",

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author = "Fung, {Joseph K. W.} and Donald Lien and Yiuman Tse and Tse, {Yiu Kuen}",

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AU - Tse, Yiuman

AU - Tse, Yiu Kuen

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AB - 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.

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Effects of electronic trading on the Hang Seng Index futures market

Abstract

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