Abstract

This paper extends the microstructure literature, by examining the previously undocumented intraday trading patterns in trading volume, price volatility, order depth and relative spreads for both the warrant and option market in Australia. Comparisons of intraday variations across these derivative securities allows for insight to be drawn into competing market microstructure theories and provides the opportunity to examine whether market design differences explain variations in observed intraday patterns. We find that intraday trading patterns documented in the warrant and option markets can be explained by their market designs, along with theories relating to time-varying information asymmetry and time-varying hedging trades around nontrading periods.

Share

COinS
 

To view the content in your browser, please download Adobe Reader or, alternately,
you may Download the file to your hard drive.

NOTE: The latest versions of Adobe Reader do not support viewing PDF files within Firefox on Mac OS and if you are using a modern (Intel) Mac, there is no official plugin for viewing PDF files within the browser window.