Effects of Electronic Trading on the Hang Seng Index Futures Market

• Main Authors: FUNG, Joseph K. W., LIEN, Donald, TSE, Yiuman, TSE, Yiu Kuen
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2005
• Subjects: Electronic trading; Hang Seng Index futures; Hong Kong; Asian Studies; Econometrics; Finance
• Online Access: https://ink.library.smu.edu.sg/soe_research/453; https://ink.library.smu.edu.sg/context/soe_research/article/1452/viewcontent/1_s2.0_S1059056004000395_main.pdf
• Institution: Singapore Management University

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