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 journalJournal articlepeer-review

    16 Citations (Scopus)
    4 Downloads (Pure)

    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 - Dec 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