Regulatory Change and Micro Structure Effects in SPI Futures
In this article we investigate and test for structural change in conditional volatility and micro structure effects in the Australian Share Price Index futures contract. The modelling is conducted around the periods following the introduction of an automated screen-based trading system and alterations to the trading day. Multiple point Switching GARCH models are employed following a detailed examination of conditional volatility, volume and maturity features. The data is sampled at 5, 15 and 30-minute intervals from transaction records supplied by the Sydney Futures Exchange. Micro-structure features that are found to be important in the preliminary analysis are incorporated in the formal models. Failure to test for and then account for any of these market features would imply that tests for structural changes are mis-specified. There is significant evidence of structural changes in both the persistence of volatility shocks and simultaneous volume effects following the change to screen trading in this futures market.
|Date of creation:||07 May 2007|
|Date of revision:|
|Contact details of provider:|| Postal: 221 Burwood Highway, Burwood 3125|
Phone: 61 3 9244 3815
Fax: +61 3 5227 2655
Web page: http://www.deakin.edu.au/buslaw/aef/index.php
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:dkn:acctwp:aef_2007_08. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dr Xueli Tang)
If references are entirely missing, you can add them using this form.