Quantifying the Effects of the Inclusion and Segregation of Contracts for Difference in Australian Equity Markets

Shaen CORBET; Cian TWOMEY

Article Details

Quantifying the Effects of the Inclusion and Segregation of Contracts for Difference in Australian Equity Markets

Authors:

Shaen CORBET | Cian TWOMEY

Publisher:

İlhan ÖZTÜRK

Journal:

International Journal of Economics and Financial Issues 2014 Vol.4 Issue 2, pp.411-426

Document Type:

Article

Publication Date:

5/2014

Document Language:

Turkish

Document ID (Org No.):

2000814510

Frequency:

Bimonthly

eISSN:

2146-4138

Abstract:

 

This study examines the effects that Contracts for Difference (CFDs) have had on the Australian equity market, either as an accelerant for mispricing, or as a source of increased market functionality through the addition of a new tradable product and increased liquidity. The Australian Securities Exchange (ASX) made the decision to segregate CFDs to a separate ring-fenced exchange in November 2007. This study uses EGARCH techniques to test for the effects of CFDs on return volatility at the time of CFD inclusion and segregation in Australian equity markets at the index and equity-specific level. A fully worked explanation and example of a CFD-influenced ‘overhang’ is also provided. The results provide evidence that cannot reject the presence of ‘overhangs’ in Australian equity markets.

Article Details

Quantifying the Effects of the Inclusion and Segregation of Contracts for Difference in Australian Equity Markets

Authors: Shaen CORBET | Cian TWOMEY

Publisher: İlhan ÖZTÜRK

Journal: International Journal of Economics and Financial Issues 2014 Vol.4 Issue 2, pp.411-426

Document Type: Article

Publication Date: 5/2014

Document Language: Turkish

Document ID (Org No.): 2000814510

Frequency: Bimonthly

eISSN: 2146-4138

Issues

Authors:

Shaen CORBET | Cian TWOMEY

Publisher:

İlhan ÖZTÜRK

Journal:

International Journal of Economics and Financial Issues 2014 Vol.4 Issue 2, pp.411-426

Document Type:

Article

Publication Date:

5/2014

Document Language:

Turkish

Document ID (Org No.):

2000814510

Frequency:

Bimonthly

eISSN:

2146-4138