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Market Insights research

Professor Alex Frino from Faculty of Economics and Business at the University of Sydney leads a team of researchers dedicated to researching trading opportunities and behaviour inherent to ASX 24 contracts.

The team produces a series of papers called 'Market Insights', with papers focusing on a specific area of interest, and often based on information not easily available to groups external to the exchange.

2012 Publications

Market Quality Indicators: September quarter 2012 - ASX Equity Index and Interest Rate Futures (PDF 3.16MB) Market Quality Indicators has been developed to provide a quantitative overview of the trading activity and market dynamics of ASX equity and interest rate futures, and highlights the extent of trading opportunities available on ASX.
Market Insight 37: Execution Costs of Exchange Traded Funds (PDF 530MB)
The study looks at the market impact cost of executing trades in ASX traded ETFs.
Market Insights 36: An Encyclopaedia of Australian Buy-Write Returns (April 2005-December 2011) (PDF 14MB)
This study examines the investment performance of passive and active implementations of a buy-write strategy for both a stock portfolio and on individual stocks traded on ASX.
Market Quality Indicators: March quarter 2012 - ASX Equity Index and Interest Rate Futures (PDF 3.09MB)
Market Quality Indicators has been developed to provide a quantitative overview of the trading activity and market dynamics of ASX equity and interest rate futures, and highlights the extent of trading opportunities available on ASX.

2011 Publications

Market Quality Indicators: September quarter 2011 - ASX Equity Index and Interest Rate Futures (PDF 2.99MB)
Market Quality Indicators has been developed to provide a quantitative overview of the trading activity and market dynamics of ASX equity and interest rate futures, and highlights the extent of trading opportunities available on ASX.
Edition 35 Improving Portfolio Performance During Market Declines: Examining a Collar Strategy on the ASX (PDF 472 KB) The recent decline in equity markets shows the importance of investment strategies that minimise downside risk. This study analyses the performance of passive and active implementations of a collar strategy on the S&P/ASX 200 Index.
Edition 34: The Ex-Dividend Performance of ASX200 Stocks Measured Against the 45-Day Holding Rule (January 2000 – March 2011) (PDF 1.00MB) The findings in this study should prove valuable for fund managers who trade around the ex-dividend days and provide them with insights that may enhance the performance of their strategies.
Market Quality Indicators: March quarter 2011 - ASX Equity Index and Interest Rate Futures (PDF 2.76MB)
Market Quality Indicators has been developed to provide a quantitative overview of the trading activity and market dynamics of ASX equity and interest rate futures, and highlights the extent of trading opportunities available on ASX.
Market Impact Costs - Centre Point and Centre Point Crossing Orders (PDF 584KB)
This study highlights the Price Improvement that can be achieved by using the ASX Centre Point order.

2010 Publications

Market Quality Indicators: December quarter 2010 - ASX Equity and Equity Index Derivatives (PDF 1.2MB)
The purpose of this booklet is to provide up-to-date semi-annual statistics that enable global institutions to evaluate trading opportunities in ASX equities and index derivatives.
Market Quality Indicators: September quarter 2010 - ASX Index and Interest Rate Futures (PDF 2.99 MB)
Market Quality Indicators has been developed to provide a quantitative overview of the trading activity and market dynamics of ASX equity and interest rate futures, and highlights the extent of trading opportunities available on ASX.
Edition 33: Managing exposure to the Australian equities market: The relative cost of taking positions in the ASX SPI 200™ Index futures and the SPDR® S&P/ASX 200 Fund (PDF 765KB)
This paper examines the level of trading activity and liquidity (measured by bid-ask spreads and depth) in these two instruments available for obtaining exposure to the Australian equities market, predominantly for cash equitisation purposes.
Market Quality Indicators: June quarter 2010 - ASX Equity and Equity Index Derivatives (PDF 645KB)
The purpose of this booklet is to provide up-to-date semi-annual statistics that enable global institutions to evaluate trading opportunities in ASX equities and equity index derivatives.
Edition 32: The Impact of European Union Emissions Trading Scheme (EU ETS) National Allocation Plans (NAP) on Carbon Markets (PDF 858 KB)
This paper empirically examines the extent to which participants in the carbon market perceive EUETS NAP and Verifications announcements to possess informational value. The study directs its attention to carbon return and volatility movements around official EUETS PHASE II announcements.
Market Quality Indicators: March quarter 2010 - ASX Index and Interest Rate Futures (PDF 2.35MB)
Market Quality Indicators has been developed to provide a quantitative overview of the trading activity and market dynamics of ASX equity and interest rate futures, and highlights the extent of trading opportunities available on ASX.
Market Quality Indicators: December quarter 2009 - ASX Equity and Index Futures (PDF 498KB)
This ASX Market Quality Indicators has been developed to provide a quantitative overview of the trading activity, market dynamics and market quality of ASX equities and equity index ETFs and futures.
Edition 31: The Impact of an Increase in Minimum Tick in the ASX 3 Year Commonwealth Treasury Bond Futures Contract (PDF 762KB)
This paper analyses the change in market quality after the increase in minimum tick on the 11th May, 2009 in the ASX 3 Year Commonwealth Treasury Bond Futures Contract.
Edition 30: Market Quality on the ASX and the Recovery from the Global Financial Crisis (PDF 622KB)
This paper examines tthe trends in various market quality measures on the ASX cash equity market over the period of October 2006 to October 2009 and identifies the extent to which these measures have improved after the peak of the GFC.

2009 Publications

Market Quality Indicators: September quarter 2009 - ASX Equity and Interest Rate Futures (PDF 649KB) Updated quarterly, Market Quality Indicators provides up-to-date quarterly statistics that enable global institutions to evaluate trading opportunities in the five most actively traded contracts and the costs associated with executing trades on the SFE.
Edition 29: The cost of executing large orders: ASX Futures - Update IV (PDF 761KB)
This paper examines how slippage costs associated with the execution of interest rate and equity futures contracts have changed during the recent global financial crisis.
Market Quality Indicators: June quarter 2009 - ASX Equities, ETFs and Index Futures (PDF 228KB)
Updated quarterly, Market Quality Indicators provides up-to-date quarterly statistics that enable global institutions to evaluate trading opportunities in the five most actively traded contracts and the costs associated with executing trades on the SFE.
Edition 28: The impact of ADR listing on liquidity (PDF 420KB)
This paper examines the impact on liquidity of introducing an American Depository Receipt program highlighting the benefits of international listing on domestic liquidity.
Market Quality Indicators: March quarter 2009 - ASX Equity and Interest Rate Futures (PDF 246KB)
Updated quarterly, Market Quality Indicators provides up-to-date quarterly statistics that enable global institutions to evaluate trading opportunities in the five most actively traded contracts and the costs associated with executing trades on the SFE.
Edition 27: Does the sydney Futures exchange offer trading Opportunities for global Institutions? June 2008 Update (PDF 800KB)
The aim of this paper is to assess whether there are new trading opportunities in SFE contracts relative to a suite of other contracts which are typically in the investment universe of global institutions such as hedge funds and global institutions.

2008 Publications

Market Quality Indicators: March quarter 2008 - SFE Equity and Interest Rate Futures (PDF 730KB)
Updated quarterly, Market Quality Indicators provides up-to-date quarterly statistics that enable global institutions to evaluate trading opportunities in the five most actively traded contracts and the costs associated with executing trades on the SFE.
Edition 26: The effects of EUA supply disruptions on market quality in the European carbon market (PDF 605KB)
This paper examines the effects of two supply disruptions on market quality in the European Carbon market. In particular, the effects of (i) the release of 2005 emissions data indicating an oversupply of EUAs for Phase I, and (ii) the restriction on banking Phase I EUAs for use in Phase II, are analysed.
Edition 25: Comparisons of Liquidity and Transactions Costs of Asia-Pacific Stock Index Futures (PDF 663KB)
This paper examines the cost of trading and liquidity of ten leading stock index futures contracts in the Asia-Pacific region, with the objective to provide information which enables global institutions to assess whether the SPI 200™ is sufficiently liquid, and its price is sufficiently volatile, to provide profitable trading opportunities.

2007 Publications