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Three essays on price formation and liquidity in financial futures markets

Doctor of Philosophy / 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.

Identiferoai:union.ndltd.org:ADTP/239368
Date January 2009
CreatorsCummings, James Richard
PublisherUniversity of Sydney., Faculty of Economics and Business., Discipline of Finance.
Source SetsAustraliasian Digital Theses Program
Detected LanguageEnglish
RightsThe author retains copyright of this thesis., http://www.library.usyd.edu.au/copyright.html

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