… To de-trend the trading volume, we first estimate the following OLS regression:(6) V t =c+a
1 t+a 2 t 2 +e t , where V t is the aggregate trading volume in the interval t. We consider e t , the …

This paper examines the order submission strategies and supply of liquidity by high‐frequency
participants versus the remainder of participants in the limit order book. The results show …

During 1999 and 2000, three major futures exchanges transferred trading in stock index
futures from open outcry to electronic markets: the London International Financial Futures and …

In this paper, we examine market share drivers of a prominent alternative trading venue (Chi-X)
in an international context. We find that Chi-X׳s market share is negatively related to …

This article extends previous literature which examines the determinants of the price impact
of block trades on the Australian Stock Exchange. As previous literature suggests that …

This study provides new evidence regarding the effect of limit order book disclosure on trading
behavior. The natural experiment affected by the Sydney Futures Exchange in January …

This paper examines the investment performance of active Australian bond funds and the
impact of investor fund flows on portfolio returns. Security selection and market timing …

… Gargano, Giacoletti, and Jarnecic signed a nondisclosure agreement to get access to the
data. Jarnecic acted as an (unpaid) consultant for the REA group from November 2017 to …

This is the first paper in the Australian literature to examine the investment performance of
actively managed international equity funds (domiciled in Australia). Both institutional and …

This paper analyses the price behavior surrounding block transactions on the Australian
Stock Exchange. Previous research documents a price reversal following block sales and a …