拉斯维加斯9888

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

汇报人：Robert I. Webb（University of Virginia and KAIST Business School）

功夫：2012年6月26日（周二）10:00-11:30am

地址：拉斯维加斯9888新楼217教室

提要：This study examines whetherorder flow originating from overseas contributesto price discovery in domestic futures markets.This issue is examined using a unique dataset for stock index futures traded on the Australian Securities Exchange which identifies the geographic location of computer servers on which orders are placed. It is found that transactions originating fromoverseas servers have a significant impact on stock index futures price volatility. Further, trades initiated frominternational servers also have a permanent impact on price.Finally, price movementscaused by trades initiated from overseas servers canlead price movements on domestic servers and contribute significantly to price discovery. Our results confirm that international order flow can be informed and contribute to price discovery in domestic stock index futures markets.

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