Andrew Lepone

University of Sydney

University of Sydney

Sydney NSW 2006, NC

Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School

St Lucia, 4071 Brisbane

Queensland

Australia

http://www.firn.org.au

SCHOLARLY PAPERS

18

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SSRN CITATIONS
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Top 26,917

in Total Papers Citations

6

CROSSREF CITATIONS

19

Scholarly Papers (18)

1.

Bid-Ask Bounce and the Measurement of Price Behaviour Around Block Trades on the Australian Stock Exchange

EFMA 2004 Basel Meetings Paper
Number of pages: 29 Posted: 28 May 2004
Alex Frino, Andrew Lepone and Elvis Jarnecic
The University of Sydney - Discipline of Finance, University of Sydney and The University of Sydney
Downloads 620 (42,427)
Citation 1

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Block Trades, Market Microstructure

2.

Determinants of Liquidity and Execution Probability in Exchange Operated Dark Pool: Evidence from the Australian Securities Exchange

Number of pages: 23 Posted: 08 Dec 2011
Peng William He and Andrew Lepone
The University of Sydney and University of Sydney
Downloads 270 (113,818)
Citation 2

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dark pool, market microstructure, centre point trading, execution probability, market quality

3.

The Price Impact of Institutional Trades on S&P 500 Index Futures

Number of pages: 27 Posted: 27 Aug 2007
Alex Frino, Andrew Lepone and George H. K. Wang
The University of Sydney - Discipline of Finance, University of Sydney and George Mason University - Department of Finance
Downloads 193 (158,423)

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Price Impact, Futures markets

4.

The Impact of Closing Call Auction on Liquidity and Price Discovery Process: An Analysis on the Stock Exchange of Hong Kong

Number of pages: 31 Posted: 12 Aug 2011
Ka Nok Chan, Michael J. Aitken and Andrew Lepone
University of New South Wales (UNSW), Macquarie Graduate School of Management and University of Sydney
Downloads 188 (162,156)
Citation 1

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5.

Large Trades and Intraday Futures Price Behavior

Journal of Futures Markets, Vol. 28, No. 12, pp. 1147-1181, December 2008
Number of pages: 49 Posted: 18 Dec 2008
The University of Sydney - Discipline of Finance, Credit Suisse AG, George Mason University - Department of Finance and University of Sydney
Downloads 162 (184,749)

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Market Price Impacts, Liquidity Effects, Information Effects, Large Trades, Futures Price Behavior

6.

The Impact of Auctions on Residential Sales Prices: Australian Evidence

Number of pages: 16 Posted: 26 Aug 2010
University of Sydney, The University of Sydney - Discipline of Finance, Macquarie Graduate School of Management and The University of Sydney - Discipline of Finance
Downloads 42 (420,418)

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7.

The Determinants of the Price Impact of Block Trades: Further Evidence

Abacus, Vol. 43, No. 1, pp. 94-106, March 2007
Number of pages: 13 Posted: 29 Jan 2007
Alex Frino, Andrew Lepone and Elvis Jarnecic
The University of Sydney - Discipline of Finance, University of Sydney and The University of Sydney
Downloads 20 (526,666)
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8.

The Determinants of Execution Costs in Short-Term Money Markets

Financial Review, Vol. 46, Issue 3, pp. 337-355, 2011
Number of pages: 19 Posted: 11 Jul 2011
Alex Frino, Jennifer Kruk and Andrew Lepone
The University of Sydney - Discipline of Finance, affiliation not provided to SSRN and University of Sydney
Downloads 3 (635,418)
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execution costs, opaque markets, information asymmetry, broker‐client relationships, G14, G15

9.

Limit Order Book, Anonymity and Market Liquidity: Evidence from the Sydney Futures Exchange

Accounting & Finance, Vol. 48, No. 4, pp. 561-573, December 2008
Number of pages: 13 Posted: 03 Nov 2008
Alex Frino, Dionigi Gerace and Andrew Lepone
The University of Sydney - Discipline of Finance, The University of Sydney and University of Sydney
Downloads 3 (635,418)
Citation 1
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10.

Impact of a Tick Size Reduction on Liquidity: Evidence from the Sydney Futures Exchange

Accounting & Finance, Vol. 49, Issue 1, pp. 1-20, March 2009
Number of pages: 20 Posted: 31 Jan 2009
Kiril Alampieski and Andrew Lepone
affiliation not provided to SSRN and University of Sydney
Downloads 2 (644,964)
Citation 1
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11.

The Impact of Regulatory Changes on the Efficiency of the Phase II EU ETS European Carbon Futures

Review of Futures Markets, 20-4, 2012, 323-347
Posted: 05 Dec 2015
Jin Young Yang, Andrew Lepone and Alexander Sacco
Zayed University, University of Sydney and The University of Sydney

Abstract:

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12.

The Impact of Off-Market Trading on Liquidity: Evidence from the Australian Options Market

Journal of Futures Markets, Vol. 30, No. 4, 361-377, 2010
Posted: 05 Dec 2015
Jin Young Yang and Andrew Lepone
Zayed University and University of Sydney

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13.

The Impact of a Pro-Rata Algorithm on Liquidity: Evidence from the NYSE Liffe

Journal of Futures Markets, Vol. 32, No. 7, 660-682, 2012
Posted: 05 Dec 2015
Jin Young Yang and Andrew Lepone
Zayed University and University of Sydney

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14.

Do Option Strategy Traders Have a Disadvantage? Evidence from the Australian Options Market

Journal of Futures Markets, Vol. 34, No. 9, 838-852, 2014
Posted: 05 Dec 2015
Jin Young Yang, Andrew Lepone and Anthony Flint
Zayed University, University of Sydney and University of Wollongong

Abstract:

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15.

Informational Role of Market Makers: The Case of Exchange Traded CFDs

Journal of Empirical Finance, No. 23, 2013
Posted: 30 Nov 2015
Jin Young Yang and Andrew Lepone
Zayed University and University of Sydney

Abstract:

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16.

Market Behavior of Institutional Investors Around Bankruptcy Announcements

Journal of Business Finance & Accounting, Vol. 41, Issue 1-2, pp. 270-295, 2014
Number of pages: 26 Posted: 25 Feb 2014
Alex Frino, Stewart Jones, Andrew Lepone and Jin Boon Wong
Macquarie University, University of Sydney – School of Business, University of Sydney and University of Sydney - Discipline of Accounting
Downloads 0 (674,283)
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bankruptcy, financial distress, institutional investors, information asymmetry, market behavior

17.

Unequal Access to Analyst Research

Australian Journal of Management, Vol. 38, No. 2, 2013
Posted: 30 Jul 2013
Andrew Lepone, Henry Leung and J. George Li
University of Sydney, University of Sydney Business School and University of Sydney - School of Economics and Business, Discipline of Finance

Abstract:

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Equity analysts, information asymmetry, information leakage

18.

The Impact of CSI 300 Index Futures Introduction on Underlying Stock Liquidity

Posted: 08 May 2013
Peng William He and Andrew Lepone
The University of Sydney and University of Sydney

Abstract:

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index futures, market quality, liquidity