The Futures Industry Research centre
Overview
The Futures Industry Research Centre commenced activities in January 2006. The Centre undertakes research in two main areas:
- First, the macroeconomic context and relevance of the futures industry.
- Second, the performance and efficiency of the Australian futures industry against other nations with the potential to highlight opportunities for improvement.
The research is directed by Professor Alex Frino from the University of Sydney, who is a recognised international expert in the area of derivatives market microstructure.
The Centre is funded through excess money in the Sydney Futures Exchange Limited Fidelity Fund. This funding has been approved by Federal Treasury under Corporations Regulation 7.5.88(2) which allows excess money in fidelity funds to be used by a licensed market operator to create a "program for the development of the financial industry" which is "conducted primarily for the public benefit" provided that the relevant Minister (Parliamentary Secretary to the Treasurer) approves the intended use as an approved purpose).
The Centre's Objectives
- Improve the performance of Australia's and the region's futures markets by directing, conducting and presenting research into the microstructure and operation of these markets.
- Foster a highly skilled and responsive research resource consisting of data, personnel and computing power to lead industry and university research programmes.
- Provide applied research and consulting to industry participants, designed to improve the level and quality of service delivered to their clients.
Current & Future Research Programmes
- The impact of pre-negotiated trading on transaction costs: Evidence from the Sydney Futures Exchange.
- A re-examination of the weak-form market efficiency hypothesis in futures markets: Tests based on technical trading rules.
- A comparison of execution costs in portfolio trades and single-line off-market transactions.
- Determinants of the cost of executing transactions in futures markets.
- Intraday and intranight patterns in liquidity in futures markets: A re-examination.
Working Paper Series
2006 Papers
- Limit Order Book Transparency, Execution Risk and Market Liquidity
- The Impact of Pre-Negotiated Trading on Transaction Costs Evidence from the Sydney Futures Exchange
- Price Formation and Liquidity Surrounding Large Trades in Interest Rate and Equity Index Futures
- Transactions in Futures Markets: Informed or Uninformed?
- The Intraday Behaviour of Market Depth in a Competitive Dealer Market: Evidence from the Sydney Futures Exchange
- Do Derivatives Improve Managed Fund Performance? The Effects of Cash Equitising Investor Flows
- A Note on Block Transactions in Futures Markets: International Evidence
- Limit Order Book, Anonymity, and Market Liquidity: Evidence from The Sydney Futures Exchange
- Intranight Trading on The Sydney Futures Exchange
- An Examination of the Profitability of Technical Trading Rules in Australian Futures Markets
- The Impact of Outside Customer Trades on Futures Prices
- The Impact of the Introduction of Mandated Market Makers on Transaction Costs: Evidence from the Sydney Futures Exchange
2007 Papers
- Fund flows, derivative use and the market timing performance of fund managers
- Determinants of credit spread changes: Evidence from the Australian bond market
- Time-dependent risk measurement for stock index arbitrage
- Execution costs and trader identity in theOTCmarket
- Large trades and intraday futures price behaviour
- A note — opening call auctions: International evidence
- The Effect of Market Maker Competition in an Electronic Limit Order Market: Evidence from the Australian Equities Options Market
- The Impact of an Increase in Pre-Trade Transparency on Market Quality: Evidence from the Sydney Futures Exchange
- Do monopolistic market makers improve market quality? Evidence from an electronic options market
- Index arbitrage and the pricing relationship between Australian stock index futures and their underlying shares
- Tax effects on the pricing of Australian stock index futures
- The Impact of a Tick Size Reduction on Market Quality: Evidence from the Sydney Futures Exchange
- Public Information, Price Volatility and Trading Volume in US Bond Markets
2008 Papers
- Trading Opportunities in the Singapore Exchange:CNXNifty (India) Index Futures
- Comparisons of Liquidity and Transactions Costs of Asia-Pacific Stock Index Futures
- The Effects of the Global Credit Crisis on Australian Interest Rate Futures Markets
- The Impact of an Increase in Pre-Trade Transparency on Market Quality: Evidence from the Sydney Futures Exchange
- Are Investors in Treasury Note Futures Informed?
- The role of information and broker-client relationships in the money market
- Transaction Costs in the European Carbon Futures
- Price formation and liquidity surrounding large trades in interest rate and equity index futures: Further evidence from the Sydney Futures Exchange
- The Impact of Off-market Trading on Liquidity: Evidence from Australian Options Market
- An Empirical Investigation of the Black-Scholes Model: Evidence from the Australian Stock Exchange
- Do offshore markets provide a beneficial relationship to the onshore markets? An examination of theMSCITaiwan Index Futures
- The Impact of a Tick Size Reduction on Market Quality: Evidence from the Sydney Futures Exchange
- How much will an illegal insider trade? Evidence from options markets
- Naked short-sales, exchange traded options and market quality
- The Impact of Block Trades in the Underlying Market on Options
- Anonymity and Broker Ability: Evidence from Australian Securities Markets
2009 Papers
- The Impact of Option Listing on the Underlying Market: Evidence from the Australian Stock Exchange
- Anonymity and Broker Ability: Looking for Winners and Losers in a Pool of Averages
- Does broker anonymity hide informed traders?
- Transparency and information content of undisclosed limit orders: evidence from the Australian market
- Market Behavior of Institutional Investors around Bankruptcies Announcements: Evidence from Australia
- The Effects of Reducing the Minimum Tick on Market Quality
2010 Papers
- The Pricing and Efficiency of Australian Treasury Bond Futures: A Note
- An empirical analysis of the relationship between credit default swap spreads and short-selling activity
- Intraday Market Maker Quote Formation: The Case of Exchange Traded CFD
- Upstairs Markets, Liquidity Provision, and Filtration of Informed Trade
- The Impact of CSI 300 Index Futures Introduction On Underlying Stock Liquidity
- Intraday Patterns in Quoted Depth on a Competitive Dealer Market
- The New Breed of Market Participants: High Frequency Trading Evidence from the Australian Stock Exchange
- The Impact of Cancelled Crossed Trades on the ASX
- Market Quality Surrounding a Tick Size Increase: Evidence from Eurex and the Sydney Futures Exchange
- The Impact of Trading Halts on Liquidity and Price Volatility: Evidence from the Australian Stock Exchange
- The Economic Value of Analyst Recommendations in Australia: An Application of the Black-Litterman Asset Allocation Model
- Maker-taker exchange fees and market liquidity: Evidence from the New Zealand Stock Exchange
2011 Papers
- Market Quality Indicators: ASX Equity and Equity Index Derivatives
- Market impact costs for Centre Point Crossing orders
- Market Quality Indicators: ASX Equity Index and Interest Rate Futures
- A Comparison of the XJO Index Options and the ASX SPI 200™ Index Options on the ASX
- Asymmetric Effects of Sell-Side Analyst Optimism and Broker Market Share by Clientele
- The Ex-Dividend Performance of ASX200 Stocks Measured Against the 45-Day Holding Rule
- Does Online Trading Contribute To Stock Volatility?
2012 Papers
