Details about Andrew Lepone

Access statistics for papers by Andrew Lepone.

Last updated 2025-03-15. Update your information in the RePEc Author Service.

Short-id: ple895

Journal Articles

2024

1. To fix or not to fix: The representativeness of the WM/R methodology that underpins the FX benchmark rates. A pre-registered report
   Pacific-Basin Finance Journal, 2024, 84, (C) View citations (1)
2. When the tide wanes: A study of post systemic collapse portfolio management
   International Review of Financial Analysis, 2024, 96, (PB)

2020

3. Flash crash in an OTC market: trading behaviour of agents in times of market stress
   The European Journal of Finance, 2020, 26, (15), 1569-1589 View citations (2)

2019

4. Price Impact of Corporate Bond Trading: Evidence from the Australian Securities Exchange
   Review of Pacific Basin Financial Markets and Policies (RPBFMP), 2019, 22, (03), 1-22
5. Short selling restrictions and index futures pricing: Evidence from China
   International Review of Economics & Finance, 2019, 61, (C), 179-187 View citations (8)

2018

6. Message traffic restrictions and relative pricing efficiency: Evidence from index futures contracts and exchange-traded funds
   Pacific-Basin Finance Journal, 2018, 51, (C), 366-375 View citations (1)
7. Short‐selling and credit default swap spreads—Where do informed traders trade?
   Journal of Futures Markets, 2018, 38, (8), 925-942
8. The impact of mandatory IFRS reporting on institutional trading costs: Evidence from Australia
   Journal of Business Finance & Accounting, 2018, 45, (7-8), 797-817 View citations (4)

2017

9. Pseudo market-makers, market quality and the minimum tick size
   International Review of Economics & Finance, 2017, 47, (C), 88-100 View citations (6)

2016

10. Are Hedgers Informed? An Examination of the Price Impact of Large Trades in Illiquid Agricultural Futures Markets
    Journal of Futures Markets, 2016, 36, (6), 612-622 View citations (4)

2014

11. Determinants of liquidity and execution probability in exchange operated dark pool: Evidence from the Australian Securities Exchange
    Pacific-Basin Finance Journal, 2014, 30, (C), 1-16 View citations (10)
12. Do Option Strategy Traders Have a Disadvantage? Evidence from the Australian Options Market
    Journal of Futures Markets, 2014, 34, (9), 838-852 View citations (1)
13. Market Behavior of Institutional Investors around Bankruptcy Announcements
    Journal of Business Finance & Accounting, 2014, 41, (1-2), 270-295 View citations (9)

2013

14. Information asymmetry and the cost of equity capital
    International Review of Economics & Finance, 2013, 27, (C), 611-620 View citations (25)
15. Informational role of market makers: The case of exchange traded CFDs
    Journal of Empirical Finance, 2013, 23, (C), 84-92 View citations (2)
16. The relationship between satellite and home market volumes: Evidence from cross-listed Singapore futures contracts
    Pacific-Basin Finance Journal, 2013, 24, (C), 301-311 View citations (4)
17. Unequal access to analyst research
    Australian Journal of Management, 2013, 38, (2), 253-277 View citations (7)

2012

18. The impact of a pro‐rata algorithm on liquidity: Evidence from the NYSE LIFFE
    Journal of Futures Markets, 2012, 32, (7), 660-682 View citations (5)
19. The impact of naked short selling on the securities lending and equity market
    Journal of Financial Markets, 2012, 15, (1), 81-107 View citations (13)

2011

20. Short-sales constraints and market quality: Evidence from the 2008 short-sales bans
    International Review of Financial Analysis, 2011, 20, (4), 225-236 View citations (11)
21. The Determinants of Execution Costs in Short‐Term Money Markets
    The Financial Review, 2011, 46, (3), 337-355 View citations (1)

2010

22. The impact of off‐market trading on liquidity: Evidence from the Australian options market
    Journal of Futures Markets, 2010, 30, (4), 361-377 View citations (1)

2009

23. An event time study of the price reaction to large retail trades
    The Quarterly Review of Economics and Finance, 2009, 49, (2), 617-632 View citations (4)
24. Derivative use, fund flows and investment manager performance
    Journal of Banking & Finance, 2009, 33, (5), 925-933 View citations (17)
25. Impact of a tick size reduction on liquidity: evidence from the Sydney Futures Exchange
    Accounting and Finance, 2009, 49, (1), 1-20 View citations (13)

2008

26. Intraday behavior of market depth in a competitive dealer market: A note
    Journal of Futures Markets, 2008, 28, (3), 294-307 View citations (5)
27. Large trades and intraday futures price behavior
    Journal of Futures Markets, 2008, 28, (12), 1147-1181 View citations (12)
28. Limit order book, anonymity and market liquidity: evidence from the Sydney Futures Exchange
    Accounting and Finance, 2008, 48, (4), 561-573 View citations (6)
29. Liquidity in auction and specialist market structures: Evidence from the Italian bourse
    Journal of Banking & Finance, 2008, 32, (12), 2581-2588 View citations (14)

2007

30. The determinants of the price impact of block trades: further evidence
    Abacus, 2007, 43, (1), 94-106 View citations (15)
31. Transactions in futures markets: Informed or uninformed?
    Journal of Futures Markets, 2007, 27, (12), 1159-1174 View citations (9)

2005

32. Bid-ask bounce and the measurement of price behavior around block trades on the Australian Stock Exchange
    Pacific-Basin Finance Journal, 2005, 13, (3), 247-262 View citations (12)