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dc.contributor.authorCummings, James Richard
dc.date.accessioned2009-07-19
dc.date.available2009-07-19
dc.date.issued2008-12-02
dc.identifier.urihttp://hdl.handle.net/2123/5296
dc.descriptionDoctor of Philosophyen
dc.description.abstractThis 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.publisherUniversity of Sydney.en
dc.publisherFaculty of Economics and Business.en
dc.publisherDiscipline of Finance.en
dc.rightsThe author retains copyright of this thesis.
dc.rights.urihttp://www.library.usyd.edu.au/copyright.html
dc.subjectFinancial futuresen
dc.subjectArbitrageen
dc.subjectMarket efficiencyen
dc.subjectBlock tradesen
dc.subjectLimit order booken
dc.titleThree essays on price formation and liquidity in financial futures marketsen
dc.typePhD Doctorateen
dc.date.valid2009-01-01en


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