Effects of Electronic Trading on the Hang Seng Index Futures Market
This paper investigates the effects of the migration of the Hang Seng Index futures from open-outcry trading to electronic trading. Using trade data over a window of six months we find evidence that, after the migration, the bid-ask spread of the futures contract decreases and the contribution of th...
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| Main Authors: | , , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2003
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/780 https://ink.library.smu.edu.sg/context/soe_research/article/1779/viewcontent/FLTT.pdf |
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| Institution: | Singapore Management University |
| Language: | English |