Market Architecture and Nonlinear Dynamics of Australian Stock and Futures Indices

Heather M. Anderson and Farshid Vahid ()

Australian Economic Papers, 2001, vol. 40, issue 4, pages 541-66

Abstract: This paper studies the All Ordinaries Index in Australia, and its futures contract known as the Share Price Index. We use a new form of smooth transition model to account for a variety of nonlinearities caused by transaction costs and other market/data imperfections, and given the recent interest in the effects of market automation on price discovery, we focus on how the nonlinear properties of the basis and returns have changed, now that floor trading in the futures contract has been replaced by electronic trading. Copyright 2001 by Blackwell Publishers Ltd/University of Adelaide and Flinders University of South Australia

Date: 2001
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