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A note on execution costs for stock index futures: Information versus liquidity effects

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  • Berkman, Henk
  • Brailsford, Tim
  • Frino, Alex

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  • Berkman, Henk & Brailsford, Tim & Frino, Alex, 2005. "A note on execution costs for stock index futures: Information versus liquidity effects," Journal of Banking & Finance, Elsevier, vol. 29(3), pages 565-577, March.
    • Handle: RePEc:eee:jbfina:v:29:y:2005:i:3:p:565-577
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    References listed on IDEAS

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    2. Holthausen, Robert W. & Leftwich, Richard W. & Mayers, David, 1987. "The effect of large block transactions on security prices: A cross-sectional analysis," Journal of Financial Economics, Elsevier, vol. 19(2), pages 237-267, December.
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    10. Subrahmanyam, Avanidhar, 1991. "A Theory of Trading in Stock Index Futures," The Review of Financial Studies, Society for Financial Studies, vol. 4(1), pages 17-51.
    11. Kraus, Alan & Stoll, Hans R, 1972. "Price Impacts of Block Trading on the New York Stock Exchange," Journal of Finance, American Finance Association, vol. 27(3), pages 569-588, June.
    12. Chan, Louis K. C. & Lakonishok, Josef, 1993. "Institutional trades and intraday stock price behavior," Journal of Financial Economics, Elsevier, vol. 33(2), pages 173-199, April.
    13. Lee, Charles M C, 1993. "Market Integration and Price Execution for NYSE-Listed Securities," Journal of Finance, American Finance Association, vol. 48(3), pages 1009-1038, July.
    14. Chan, Louis K C & Lakonishok, Josef, 1997. "Institutional Equity Trading Costs: NYSE versus Nasdaq," Journal of Finance, American Finance Association, vol. 52(2), pages 713-735, June.
    15. Jegadeesh, Narasimhan & Subrahmanyam, Avanidhar, 1993. "Liquidity Effects of the Introduction of the S&P 500 Index Futures Contract on the Underlying Stocks," The Journal of Business, University of Chicago Press, vol. 66(2), pages 171-187, April.
    16. Kumar Venkataraman, 2001. "Automated Versus Floor Trading: An Analysis of Execution Costs on the Paris and New York Exchanges," Journal of Finance, American Finance Association, vol. 56(4), pages 1445-1485, August.
    17. Bessembinder, Hendrik & Kaufman, Herbert M., 1997. "A Comparison of Trade Execution Costs for NYSE and NASDAQ-Listed Stocks," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 32(3), pages 287-310, September.
    18. Hasbrouck, Joel, 1996. "Order characteristics and stock price evolution An application to program trading," Journal of Financial Economics, Elsevier, vol. 41(1), pages 129-149, May.
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    Cited by:

    1. Rand Kwong Yew Low, 2018. "Vine copulas: modelling systemic risk and enhancing higher‐moment portfolio optimisation," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 58(S1), pages 423-463, November.
    2. Ters, Kristyna & Urban, Jörg, 2020. "Estimating unknown arbitrage costs: Evidence from a 3-regime threshold vector error correction model," Journal of Financial Markets, Elsevier, vol. 47(C).
    3. Timotheos Angelidis & Alexandros Benos, 2009. "The Components of the Bid‐Ask Spread: the Case of the Athens Stock Exchange," European Financial Management, European Financial Management Association, vol. 15(1), pages 112-144, January.
    4. Erik Theissen, 2012. "Price discovery in spot and futures markets: a reconsideration," The European Journal of Finance, Taylor & Francis Journals, vol. 18(10), pages 969-987, November.
    5. Ming-Hsien Chen & Vivian Tai, 2014. "The price discovery of day trading activities in futures market," Review of Derivatives Research, Springer, vol. 17(2), pages 217-239, July.
    6. Jürgen Gaul & Erik Theissen, 2015. "A Partially Linear Approach to Modeling the Dynamics of Spot and Futures Prices," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 35(4), pages 371-384, April.
    7. Olaf Korn & Paolo Krischak & Erik Theissen, 2019. "Illiquidity transmission from spot to futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(10), pages 1228-1249, October.
    8. Ruan, Qingsong & Huang, Ying & Jiang, Wei, 2016. "The exceedance and cross-correlations between the gold spot and futures markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 463(C), pages 139-151.
    9. Bjursell, Johan & Frino, Alex & Tse, Yiuman & Wang, George H.K., 2010. "Volatility and trading activity following changes in the size of futures contracts," Journal of Empirical Finance, Elsevier, vol. 17(5), pages 967-980, December.
    10. Yildiz, Serhat & Van Ness, Bonnie & Van Ness, Robert, 2020. "VPIN, liquidity, and return volatility in the U.S. equity markets," Global Finance Journal, Elsevier, vol. 45(C).
    11. Saleemi, Jawad, 2022. "Asymmetric information modelling in the realized spread: A new simple estimation of the informed realized Spread," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 8(1), pages 1-12.
    12. Frino, Alex & Lepone, Andrew & Wong, Brad, 2009. "Derivative use, fund flows and investment manager performance," Journal of Banking & Finance, Elsevier, vol. 33(5), pages 925-933, May.
    13. Frino, Alex & Gallagher, David R. & Oetomo, Teddy N., 2006. "Further analysis of the liquidity and information components of institutional orders: Active versus passive funds," Pacific-Basin Finance Journal, Elsevier, vol. 14(5), pages 439-452, November.
    14. Murphy Jun Jie Lee, 2013. "The Microstructure of Trading Processes on the Singapore Exchange," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2013, January-A.
    15. Zi Ning & Yiuman Tse, 2009. "Order Imbalance in the FTSE Index Futures Market: Electronic versus Open Outcry Trading," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 36(1-2), pages 230-252.
    16. Kalaitzoglou, Iordanis & Ibrahim, Boulis Maher, 2013. "Trading patterns in the European carbon market: The role of trading intensity and OTC transactions," The Quarterly Review of Economics and Finance, Elsevier, vol. 53(4), pages 402-416.
    17. Zhang, Sijia & Gregoriou, Andros, 2019. "The price behavior around initial loan announcements: Evidence from zero-leverage firms in the UK," Research in International Business and Finance, Elsevier, vol. 50(C), pages 191-200.
    18. Zi Ning & Yiuman Tse, 2009. "Order Imbalance in the FTSE Index Futures Market: Electronic versus Open Outcry Trading," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 36(1‐2), pages 230-252, January.
    19. Ya‐Kai Chang & Robin K. Chou & J. Jimmy Yang, 2020. "A rare move: The effects of switching from a closing call auction to a continuous trading," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(3), pages 308-328, March.
    20. Jenwittayaroje, Nattawut & Charoenwong, Charlie & Ding, David K. & Yang, Yung Chiang, 2015. "Trading costs on the Stock Exchange of Thailand," International Review of Financial Analysis, Elsevier, vol. 41(C), pages 31-40.
    21. Murphy Jun Jie Lee, 2013. "The Microstructure of Trading Processes on the Singapore Exchange," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 4, July-Dece.
    22. Alex Frino, 2021. "Off‐market block trades: New evidence on transparency and information efficiency," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(4), pages 478-492, April.

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