Show simple item record

dc.contributor.authorTwomey, C. and Corbet, S.
dc.date.accessioned2014-02-26T12:27:16Z
dc.date.available2014-02-26T12:27:16Z
dc.date.issued2014
dc.identifier.citationTwomey, C. and Corbet, S. (2014) 'Quantifying the effects of the inclusion and segregation of Contracts for Difference in Australian equity markets' International Journal of Economics and Financial Issues, 4 (2) .en_US
dc.identifier.issn2146-4138
dc.identifier.urihttp://hdl.handle.net/10379/4222
dc.descriptionJournal articleen_US
dc.description.abstractThis study examines the effects that Contracts for Difference (CFDs) have had on theAustralian equity market, either as an accelerant for mispricing, or as a source of increased marketfunctionality through the addition of a new tradable product and increased liquidity. The AustralianSecurities Exchange (ASX) made the decision to segregate CFDs to a separate ring-fenced exchangein November 2007. This study uses EGARCH techniques to test for the effects of CFDs on returnvolatility at the time of CFD inclusion and segregation in Australian equity markets at the index andequity-specific level. A fully worked explanation and example of a CFD-influenced overhang is alsoprovided. The results provide evidence that cannot reject the presence of overhangs in Australianequity markets.en_US
dc.formatapplication/pdfen_US
dc.language.isoenen_US
dc.publisherEconjournals.comen_US
dc.relation.ispartofInternational Journal of Economics and Financial Issuesen
dc.rightsAttribution-NonCommercial-NoDerivs 3.0 Ireland
dc.rights.urihttps://creativecommons.org/licenses/by-nc-nd/3.0/ie/
dc.subjectContracts for Differenceen_US
dc.subjectEGARCHen_US
dc.subjectEquity marketsen_US
dc.subjectVolatilityen_US
dc.titleQuantifying the effects of the inclusion and segregation of Contracts for Difference in Australian equity marketsen_US
dc.typeArticle
dc.date.updated2014-02-18T11:47:36Z
dc.description.peer-reviewedNot peer reviewed
dc.contributor.funder|~|
dc.internal.rssid5860300
dc.local.contactCian Twomey, Dept. Of Economics, First Floor, St. Anthony'S, Nui Galway. 3121 Email: cian.twomey@nuigalway.ie
dc.local.copyrightcheckedYes
dc.local.versionACCEPTED
nui.item.downloads386


Files in this item

Thumbnail
Thumbnail

This item appears in the following Collection(s)

Show simple item record

Attribution-NonCommercial-NoDerivs 3.0 Ireland
Except where otherwise noted, this item's license is described as Attribution-NonCommercial-NoDerivs 3.0 Ireland