Alex Frino

University of Wollongong

Northfields Avenue

Wollongong, New South Wales 2522

Australia

SCHOLARLY PAPERS

9

DOWNLOADS

551

SSRN CITATIONS

10

CROSSREF CITATIONS

0

Scholarly Papers (9)

1.

Off-Market Block Trades: New Evidence on Transparency and Information Efficiency

Number of pages: 28 Posted: 11 Mar 2020
Alex Frino
University of Wollongong
Downloads 113 (457,088)
Citation 1

Abstract:

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Block trades, market microstructure, futures markets, market efficiency

2.

Impact of Algorithmic Trading on Speed of Adjustment to New Information: Evidence from Interest Rate Derivatives

Number of pages: 23 Posted: 11 Mar 2020
Z. Ivy Zhou, Michael Garcia and Alex Frino
University of Wollongong - School of Accounting, Economics & Finance, University of Wollongong and University of Wollongong
Downloads 97 (508,863)
Citation 2

Abstract:

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Microstructure; Sydney Futures Exchange; Timezones; Information Announcements

3.

The impact of cyber-attacks on the stock prices and bid-ask spreads of target firms: Australian evidence

Number of pages: 33 Posted: 30 Nov 2023
Alex Frino and Robert Gaudiosi
University of Wollongong and University of Wollongong
Downloads 83 (561,109)

Abstract:

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cyber attacks, cyber security, stock prices, market microstructure.

4.

The Impact of HFT on the Speed of Adjustment to New Information: Evidence from Interest Rate Derivatives

2019 Financial Markets & Corporate Governance Conference
Number of pages: 23 Posted: 01 Feb 2019 Last Revised: 20 Feb 2020
Alex Frino, Michael Garcia and Z. Ivy Zhou
University of Wollongong, University of Wollongong and University of Wollongong - School of Accounting, Economics & Finance
Downloads 82 (565,232)

Abstract:

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Price discovery; Futures; Swaps; High frequency trading

5.

The Sensitivity of Trading to the Cost of Information

Number of pages: 29 Posted: 14 Mar 2020
University of Wollongong, Macquarie University, Macquarie Graduate School of Management and University of Virginia - McIntire School of Commerce
Downloads 77 (586,341)
Citation 1

Abstract:

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Exchange, pricing schedules, trade

6.

Are Option Traders More Informed Than Twitter Users? A PVAR Analysis

Frino, A., Xu, C., & Zhou, Z. I. (2022). Are option traders more informed than Twitter users? A PVAR analysis. Journal of Futures Markets, 42(9), 1755-1771.
Number of pages: 29 Posted: 22 Dec 2022
Alex Frino, Caihong Xu and Z. Ivy Zhou
University of Wollongong, Stockholm University - Stockholm Business School and University of Wollongong - School of Accounting, Economics & Finance
Downloads 54 (708,541)

Abstract:

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Social media, Twitter, Sentiment, Options, Implied volatility

7.

Reporting Delays and the Information Content of Off-Market Trades

Number of pages: 28 Posted: 23 Nov 2021
Alex Frino, Luca Galati and Dionigi Gerace
University of Wollongong, University of Wollongong and The University of Sydney
Downloads 45 (766,806)
Citation 2

Abstract:

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block trades, deferred publication, futures markets, market microstructure, post-trade transparency, price impact.

8.

The impact of trade characteristics on stock return volatility: Evidence from the Australian Stock Exchange

Asia-Pacific Journal of Financial Studies, Vol 38(2): 163-186, 2008
Posted: 01 Jun 2020
Alex Frino, Reuben Segara and Hui Zheng
University of Wollongong, University of Sydney Business School and Discipline of Finance, The University of Sydney

Abstract:

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Trade Characteristics, Stock Return Volatility, Information Asymmetry, Stealth Trading, Market Microstructure

9.

The Impact of Trading Halts on Liquidity and Price Volatility: Evidence From the Australian Stock Exchange

Pacific-Basin Finance Journal Vol. 19(3): 298-307 (2011)
Posted: 01 Jun 2020
Alex Frino, Steven Lecce and Reuben Segara
University of Wollongong, affiliation not provided to SSRN and University of Sydney Business School

Abstract:

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Australian securities exchange, Market microstructure,Trading halts, Liquidity