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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.

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  • Gerard Gannon & Chi-Ying Chang, 2007. "Regulatory Change and Micro Structure Effects in SPI Futures," Accounting, Finance, Financial Planning and Insurance Series 2007_08, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.
  • Handle: RePEc:dkn:acctwp:aef_2007_08

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    References listed on IDEAS

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    More about this item


    Regulatory intervention; Structural Breaks; Micro Structure Effects.;

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing


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