Three essays on price formation and liquidity in financial futures markets

Access status:

Open Access

Field	Value	Language
dc.contributor.author	Cummings, James Richard
dc.date.accessioned	2009-07-19
dc.date.available	2009-07-19
dc.date.issued	2008-12-02
dc.identifier.uri	http://hdl.handle.net/2123/5296
dc.description.abstract	This dissertation presents the results of three empirical studies on price formation and liquidity in financial futures markets. The research entails three related areas: the effect of taxes on the prices of Australian stock index futures; the efficiency of the information transmission mechanism between the cash and futures markets; and the price and liquidity impact of large trades in interest rate and equity index futures markets. An overview of previous research identifies some important gaps in the existing literature that this dissertation aims to resolve for the benefit of arbitrageurs, investment managers, brokers and regulators.	en
dc.rights	The author retains copyright of this thesis.
dc.rights.uri	http://www.library.usyd.edu.au/copyright.html
dc.subject	Financial futures	en
dc.subject	Arbitrage	en
dc.subject	Market efficiency	en
dc.subject	Block trades	en
dc.subject	Limit order book	en
dc.title	Three essays on price formation and liquidity in financial futures markets	en
dc.type	Thesis	en_AU
dc.date.valid	2009-01-01	en
dc.type.thesis	Doctor of Philosophy	en_AU
usyd.faculty	Faculty of Economics and Business, Discipline of Finance	en_AU
usyd.degree	Doctor of Philosophy Ph.D.	en_AU
usyd.awardinginst	The University of Sydney	en_AU