Title

Does International Order Flow Contribute to Price Discovery in Futures Markets?

RIS ID

117878

Publication Details

Frino, A., Webb, R. & Zheng, H. (2012). Does International Order Flow Contribute to Price Discovery in Futures Markets?. Journal of Futures Markets, 32 (12), 1124-1143.

Abstract

This study examines whether order flow originating from overseas contributes to price discovery in domestic futures markets. This issue is examined using a unique dataset for stock index futures traded on the Australian Securities Exchange that identifies the geographic location of computer servers on which orders are placed. We find that (i) transactions originating from overseas servers have a significant impact on the price volatility of stock index futures; (ii) trades initiated from international servers also have a permanent impact on price; and (iii) price movements caused by trades initiated from overseas servers lead those on domestic servers

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Link to publisher version (DOI)

http://dx.doi.org/10.1002/fut.21579