Market Architecture and Nonlinear Dynamics of Australian Stock and Futures Indices
Heather Anderson and
Farshid Vahid
Australian Economic Papers, 2001, vol. 40, issue 4, 541-566
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how the nonlinear properties of the basis and returns have changed, now that floor trading in the futures contract has been replaced by electronic trading.
Date: 2001
References: Add references at CitEc
Citations: View citations in EconPapers (6)
Downloads: (external link)
https://doi.org/10.1111/1467-8454.00141
Related works:
Working Paper: Market Architecture and Nonlinear Dynamics of Australian Stock and Future Indices (2001) 
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:bla:ausecp:v:40:y:2001:i:4:p:541-566
Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0004-900X
Access Statistics for this article
Australian Economic Papers is currently edited by Daniel Leonard
More articles in Australian Economic Papers from Wiley Blackwell
Bibliographic data for series maintained by Wiley Content Delivery ().