Effects of electronic trading on the Hang Seng Index futures market

Joseph K.W. Fung; Donald Lien; Yiuman Tse; Yiu Kuen Tse

doi:10.1016/j.iref.2004.03.004

Effects of electronic trading on the Hang Seng Index futures market

Joseph K.W. Fung
, Donald Lien
, Yiuman Tse
, Yiu Kuen Tse

Research output: Contribution to journal › Article › peer-review

17 Citations (Scopus)

Abstract

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.

Original language	English
Pages (from-to)	415-425
Number of pages	11
Journal	International Review of Economics and Finance
Volume	14
Issue number	4
DOIs	https://doi.org/10.1016/j.iref.2004.03.004
Publication status	Published - 2005
Externally published	Yes

Keywords

Electronic trading
Hang Seng Index futures

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10.1016/j.iref.2004.03.004

Cite this

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title = "Effects of electronic trading on the Hang Seng Index futures market",

abstract = "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.",

keywords = "Electronic trading, Hang Seng Index futures",

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AU - Lien, Donald

AU - Tse, Yiuman

AU - Tse, Yiu Kuen

PY - 2005

Y1 - 2005

N2 - 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.

AB - 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.

KW - Electronic trading

KW - Hang Seng Index futures

UR - https://www.scopus.com/pages/publications/27744590681

U2 - 10.1016/j.iref.2004.03.004

DO - 10.1016/j.iref.2004.03.004

M3 - Article

AN - SCOPUS:27744590681

SN - 1059-0560

VL - 14

SP - 415

EP - 425

JO - International Review of Economics and Finance

JF - International Review of Economics and Finance

IS - 4

ER -

Effects of electronic trading on the Hang Seng Index futures market

Abstract

Keywords

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