Effects of electronic trading on the Hang Seng Index futures market [An article from: International Review of Economics and Finance]

by J.K.W. Fung, D. Lien, Y. Tse, Y.K. Tse

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This digital document is a journal article from International Review of Economics and Finance, published by Elsevier in 2005. The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.

Description:
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.

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