Effects of electronic trading on the Hang Seng Index futures market |
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| Authors: | Joseph KW Fung Donald Lien Yiuman Tse Yiu Kuen Tse |
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| Institution: | aHong Kong Baptist University, Hong Kong, China;bUniversity of Texas at San Antonio, San Antonio, TX 78249, USA;cUniversity of Texas at San Antonio, 501 West Durango Boulevard, San Antonio TX 78207, USA;dSingapore Management University, Singapore, Singapore |
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| Abstract: | This investigation of the switch from open-outcry trading to electronic trading on the Hang Seng Index (HSI) futures contract reveals that the bid–ask spread narrows and the futures price plays more of a role in information transmission. Factors, such as anonymity in trading and fast order execution in electronic trading, attract informed traders to the futures market, enhancing the information flow. Our results provide support for the worldwide trend of transforming open-outcry markets into electronic trading platforms. |
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| Keywords: | Electronic trading Hang Seng Index futures |
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