Concerns regarding the prevalence of manipulation of closing prices have prompted substantial changes to the mechanisms used to close trading at stock exchanges around the world. Nicholas Cordi USYD, CIFR / CMCRC Honours Scholarship Program 2014 Sean Foley USYD Keywords: Close price, Random Auction Ending, Manipulation Closing prices are important for, among others, benchmarking
Evidence from UK interest rate futures market reveals that traders have been “drowning” the market with oversized orders, increasing their allocation under a pure pro-rata matching algorithm. The 2007 introduction of a time element to the order matching mechanism has modified the behaviour of traders. No longer is the order book drowned with orders which
Seasoned equity offerings (SEOs) are widely regarded as one of the most important capital structure events for listed companies. CMCRC researchers show brokers affiliated with SEO managers gain additional market share during SEOs as compared to unaffiliated brokers. This could be interpreted as contributing to compensation for management and underwriting services. Jimmy Liu PhD candidate,
A new study by CMCRC researchers suggests that companies may be able to influence the level of algorithmic trading (AT) by adjusting their price level. The research shows that, stocks with lower relative tick size experience faster cancelation, deletion or trade times and higher order to trade ratios vis-à-vis firms with larger relative ticks. The
Motivated by ongoing debates on investment-cash flow sensitivity (ICFS), its relation to firm-level financial constraints and its documented decline in the U.S., we investigate the determinants of cross-country and time-series variation in ICFS. Using firm-level data across 45 countries for the 1991–2010 period, we document a strong decline in ICFS for both developed and emerging
A new study by CMCRC researchers James Melouney and Dr. Matthew Clifton report that a trading strategy based on short-selling information can be used to develop several stock portfolios, achieving annual returns ranging from 0.2118% to 6.3015% after transaction costs. Short-selling refers to the selling of stocks one does not currently own and subsequently purchasing
CMCRC research reports the efficiency of opening prices is associated with the stock- specific open-auction sequence on the ASX. The sequential nature of the Australian opening auction implies that some stocks always open before other. For a stock that opens down sequence, the price-relevant information may be extracted from the trading process of comparable stocks
An emulation fund collects trade signals from a sponsor’s multi-manager portfolio (e.g. a superannuation fund that hires a number of underlying active managers to make trading decisions) and rebalances on a lagged basis to match its holdings. In this new research we test the effectiveness of an emulation portfolio relative to the fund of funds
Our paper is among the first to provide an empirical assessment as to whether High Frequency Trading (HFT) has a positive effect on market fairness. We find the presence of HFT has significantly mitigated the frequency and severity of price dislocation and the likelihood of manipulation, counter to recent concerns expressed in the media that
A study by CMCRC researchers presents a fresh look at extracting apposition from large collections of news, web and broadcast text in order to turn unstructured news stories into “computable data”. News is about interactions between entities ‐ people, places and organisations ‐ and understanding stories requires interpreting the entities in them and their attributes.