Alex Frino

The University of Sydney - Discipline of Finance

Dr.

Futures Research Centre

P.O. Box H58

Sydney NSW

Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School

St Lucia, 4071 Brisbane

Queensland

Australia

http://www.firn.org.au

SCHOLARLY PAPERS

49

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CITATIONS
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65

Scholarly Papers (49)

The Index Tracking Strategies of Passive and Enhanced Index Equity Funds

UNSW School of Banking and Finance Working Paper No. 2003-19
Number of pages: 40 Posted: 16 Dec 2003
The University of Sydney - Discipline of Finance, Schroder Investment Management Indonesia and Capital Markets CRC Limited
Downloads 1,029 (19,752)
Citation 4

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Passive funds, Enhanced index funds, Tracking Error, Index funds, Portfolio configuration, Index revisions, Trading strategies

The Index Tracking Strategies of Passive and Enhanced Index Equity Funds

Australian Journal of Management, Forthcoming
Posted: 21 Nov 2004
The University of Sydney - Discipline of Finance, Schroder Investment Management Indonesia and Capital Markets CRC Limited

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Passive funds, Enhanced index funds, Tracking Error, Index funds, Portfolio configuration, Index revisions, Trading strategies

2.

The Impact of Electronic Trading on Liquidity

Number of pages: 32 Posted: 19 May 2001
Alex Frino and Amelia M. Hill
The University of Sydney - Discipline of Finance and The University of Sydney - Discipline of Finance
Downloads 869 (25,830)
Citation 2

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Electronic trading, screen trading, automation, futures markets, liquidity

3.

Index Arbitrage and the Pricing Relationship between Australian Stock Index Futures and Their Underlying Shares

Number of pages: 42 Posted: 25 Aug 2008 Last Revised: 24 Nov 2011
James R. Cummings and Alex Frino
Macquarie University, Faculty of Business and Economics and The University of Sydney - Discipline of Finance
Downloads 703 (34,578)
Citation 1

Abstract:

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Stock index futures, Arbitrage, Market efficiency

4.

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 618 (41,126)
Citation 4

Abstract:

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Block Trades, Market Microstructure

5.
Downloads 455 ( 60,803)
Citation 8

Closing Call Auctions and Liquidity

Number of pages: 25 Posted: 09 Apr 2003
Macquarie Graduate School of Management, The University of Sydney - Discipline of Finance and UNSW Business School
Downloads 423 (65,777)
Citation 8

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Closing call auctions, liquidity

Closing Call Auctions and Liquidity

Accounting and Finance, Vol. 45, No. 4, pp. 501-518, December 2005
Number of pages: 18 Posted: 03 Jan 2006
The University of Sydney - Discipline of Finance, Macquarie Graduate School of Management and UNSW Business School
Downloads 32 (458,643)
Citation 8
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Call auctions, Liquidity, Market microstructure

6.

Are Algorithmic Trades Informed? - An Empirical Analysis of Algorithmic Trading Around Earnings Announcements

27th Australasian Finance and Banking Conference 2014 Paper
Number of pages: 46 Posted: 22 Aug 2012 Last Revised: 15 Sep 2015
The University of Sydney - Discipline of Finance, University of Sydney Business School, George Mason University - Department of Finance, University of Sydney Business School and Discipline of Finance, The University of Sydney
Downloads 401 (70,814)
Citation 1

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algorithmic trades [AT], execution algorithms, earnings announcements

7.

The Performance of the 130/30 Strategy in the Australian Equities Market

21st Australasian Finance and Banking Conference 2008 Paper
Number of pages: 53 Posted: 31 Jul 2008 Last Revised: 26 Feb 2009
Alex Frino, Elvis Jarnecic and Abhishek Das
The University of Sydney - Discipline of Finance, The University of Sydney and The University of Sydney
Downloads 355 (81,643)

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Long/Short Equity, 130/30, Active Extension, Hedge Funds, Momentum, Value-based, Australia

8.

The Impact of Screen Trading on the Link between Stock Index and Stock Index Futures Prices: Evidence from UK Markets

EFMA 2002 London Meetings
Number of pages: 27 Posted: 19 Jun 2002
Alex Frino and Michael D. McKenzie
The University of Sydney - Discipline of Finance and The University of Sydney - Discipline of Finance
Downloads 355 (81,643)

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screen-trading, stock index futures, London International Financial Futures Exchange (LIFFE), FTSE100

9.

Price Behaviour Surrounding Blocks: Asymmetric or Bid-Ask Bias

EFMA 2003 Helsinki Meetings
Number of pages: 21 Posted: 14 Jun 2003
Alex Frino, Vito Mollica and Terry S. Walter
The University of Sydney - Discipline of Finance, Macquarie Graduate School of Management and University of Sydney
Downloads 298 (99,155)

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Block trades, Bid-Ask Bias, Asymmetry, Execution Costs, Market Microstructure

10.

Further Analysis of the Liquidity and Information Components of Institutional Orders: Active Versus Passive Funds

Number of pages: 27 Posted: 07 Feb 2005
The University of Sydney - Discipline of Finance, Schroder Investment Management Indonesia and Capital Markets CRC Limited
Downloads 274 (108,581)
Citation 4

Abstract:

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Price impact, transaction costs, index fund, active fund

11.
Downloads 271 (109,839)
Citation 3

How Broker Ability Affects Institutional Trading Costs

Number of pages: 27 Posted: 13 Aug 2003
The University of Sydney - Discipline of Finance, UNSW Business School, The University of Sydney - Discipline of Finance and Schroder Investment Management Indonesia
Downloads 245 (121,400)
Citation 3

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transaction costs, institutional trading

How Broker Ability Affects Institutional Trading Costs

Accounting and Finance, Vol. 45, No. 3, pp. 351-374, November 2005
Number of pages: 24 Posted: 26 Nov 2005
UNSW Business School, The University of Sydney - Discipline of Finance, The University of Sydney - Discipline of Finance and Schroder Investment Management Indonesia
Downloads 26 (490,486)
Citation 3
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12.

Intranight Trading Behaviour

EFA 0691
Number of pages: 37 Posted: 05 Nov 2000
Alex Frino and Amelia M. Hill
The University of Sydney - Discipline of Finance and The University of Sydney - Discipline of Finance
Downloads 250 (119,447)

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Intranight, screen trading

13.

The Impact of Limit Order Anonymity on Liquidity: Evidence from Paris, Tokyo and Korea

Number of pages: 25 Posted: 02 May 2005
UNSW Business School, The University of Sydney - Discipline of Finance and Macquarie Graduate School of Management
Downloads 241 (123,899)
Citation 9

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anonymity, transparency, limit orders

14.

Does Insider Trading Explain Price Run-Up Ahead of Takeover Announcements?

Finance and Corporate Governance Conference 2011 Paper
Number of pages: 38 Posted: 01 Dec 2010 Last Revised: 14 Jan 2015
Sean Foley, Alex Frino and Angelo Aspris
University of Sydney Business School, The University of Sydney - Discipline of Finance and affiliation not provided to SSRN
Downloads 223 (134,465)

Abstract:

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Toehold, takeover, short term, long term

15.

The Cost of Trade Execution Services in Futures Markets

EFMA 2003 Helsinki Meetings
Number of pages: 26 Posted: 26 Apr 2003
University of Sydney Business School, The University of Sydney - Discipline of Finance and The University of Sydney
Downloads 193 (153,464)

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Commission rates, Brokerage, Automation, Futures

16.

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

Number of pages: 27 Posted: 27 Aug 2007
The University of Sydney - Discipline of Finance, University of Sydney and George Mason University - Department of Finance
Downloads 192 (154,177)

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Price Impact, Futures markets

17.

Volatility and Trading Activity Following Changes in the Size of Futures Contracts

Number of pages: 30 Posted: 03 Feb 2008
Credit Suisse AG, The University of Sydney - Discipline of Finance, University of Texas at San Antonio - College of Business and George Mason University - Department of Finance
Downloads 188 (157,108)
Citation 1

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: Price volatility, Trading Frequency, Trade Size, Change in Size of Futures Contracts.

18.

Board Independence, Stock Liquidity, and Price Efficiency

2015 Financial Markets & Corporate Governance Conference
Number of pages: 24 Posted: 05 Sep 2011 Last Revised: 02 Feb 2015
Angelo Aspris and Alex Frino
University of Sydney - Discipline of Finance and The University of Sydney - Discipline of Finance
Downloads 176 (166,676)

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Corporate governance, board independence, directors, liquidity, market efficiency

19.

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 158 (183,076)
Citation 2

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

20.

Price Formation and Liquidity Surrounding Large Trades in Interest Rate and Equity Index Futures

Number of pages: 66 Posted: 25 Aug 2008 Last Revised: 24 Nov 2011
James R. Cummings and Alex Frino
Macquarie University, Faculty of Business and Economics and The University of Sydney - Discipline of Finance
Downloads 136 (206,909)

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Financial futures, Block trades, Price impact, Limit order book, Market resiliency

21.
Downloads 97 (264,662)
Citation 4

How Much Does an Illegal Insider Trade?

Number of pages: 41 Posted: 16 Mar 2010
The University of Sydney - Discipline of Finance, University of Cambridge - Faculty of Economics and Politics, The University of Sydney and Discipline of Finance, The University of Sydney
Downloads 95 (270,216)
Citation 4

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How Much Does an Illegal Insider Trade?

International Review of Finance, Vol. 13, Issue 2, pp. 241-263, 2013
Number of pages: 23 Posted: 08 May 2013
The University of Sydney - Discipline of Finance, University of Cambridge - Faculty of Economics and Politics, The University of Sydney and Discipline of Finance, The University of Sydney
Downloads 2 (651,388)
Citation 4
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The Geographic Origin of Order Flow and Price Discovery

Number of pages: 37 Posted: 02 Jan 2012
Alex Frino, Robert I. Webb and Hui Zheng
The University of Sydney - Discipline of Finance, University of Virginia and Discipline of Finance, The University of Sydney
Downloads 56 (366,212)

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home bias, international order flow, price discovery

The Geographic Origin of Order Flow and Price Discovery

Number of pages: 37 Posted: 09 Mar 2011 Last Revised: 03 Jan 2012
Alex Frino, Robert I. Webb and Hui Zheng
The University of Sydney - Discipline of Finance, University of Virginia and Discipline of Finance, The University of Sydney
Downloads 40 (423,666)

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Home bias, International order flow, Price discovery

23.

Anonymity and Broker Ability: Looking for Winners and Losers in a Pool of Averages

Number of pages: 30 Posted: 19 Jan 2009 Last Revised: 09 Feb 2009
Alex Frino and J. George Li
The University of Sydney - Discipline of Finance and University of Sydney - School of Economics and Business, Discipline of Finance
Downloads 94 (270,095)

Abstract:

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Anonymity, transparency, information asymmetry, transactions costs, broker ability

24.

Seasonality in Australian Residential Real Estate Prices

22nd Australasian Finance and Banking Conference 2009
Number of pages: 35 Posted: 23 Aug 2009 Last Revised: 09 Nov 2009
Danika J. Wright, Alex Frino and Maurice Peat
The University of Sydney - Discipline of Finance, The University of Sydney - Discipline of Finance and The University of Sydney
Downloads 89 (279,651)

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Real estate finance, seasonality, house price index

25.

Strategic Illegal Insider Trading Prior to Price Sensitive Announcements

Journal of Financial Crime, 2011, 18(3), 247-253
Number of pages: 7 Posted: 14 Apr 2013 Last Revised: 14 Aug 2013
University of Memphis - Fogelman College of Business and Economics, The University of Sydney - Discipline of Finance and Johns Hopkins University - Paul H. Nitze School of Advanced International Studies (SAIS)
Downloads 82 (294,129)

Abstract:

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Insider trading, Stock markets, Financial information

26.

Tax Effects on the Pricing of Australian Stock Index Futures

Number of pages: 29 Posted: 23 Nov 2011
James R. Cummings and Alex Frino
Macquarie University, Faculty of Business and Economics and The University of Sydney - Discipline of Finance
Downloads 76 (307,620)
Citation 1

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Stock index futures, Debt tax shield, Dividend valuation, Imputation credit

27.

Asymmetry in the Permanent Price Impact of Block Purchases and Sales: Theory and Empirical Evidence

Number of pages: 36 Posted: 14 Sep 2012
The University of Sydney - Discipline of Finance, Macquarie Graduate School of Management and Centre for Studies in Economics and Finance (CSEF)
Downloads 71 (319,714)

Abstract:

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block trade, market impact, asymmetry

28.

Impact of Anonymity on Liquidity in Limit Order Books: Evidence from Cross-listed Stocks

25th Australasian Finance and Banking Conference 2012
Number of pages: 48 Posted: 19 Aug 2012 Last Revised: 02 May 2016
University of Wollong - School of Accounting and Finance, The University of Sydney - Discipline of Finance, Macquarie University - Department of Applied Finance and Actuarial Studies and University of Wollongong - School of Accounting Economics and Finance
Downloads 70 (322,154)

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anonymity, liquidity, cross-listed, commonality in liquidity

29.

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 39 (418,812)

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30.

The Impact of Mandated Cash Flow Disclosure on Bid-Ask Spreads

Journal of Business Finance & Accounting, Vol. 32, No. 7-8, pp. 1373-1396, September 2005
Number of pages: 6 Posted: 27 Mar 2006
Alex Frino and Stewart Jones
The University of Sydney - Discipline of Finance and University of Sydney – School of Business
Downloads 34 (439,134)
Citation 2
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31.

Is Index Performance Achievable? An Analysis of Australian Equity Index Funds

Abacus, Vol. 38, No. 2, pp. 200-214, 2002
Number of pages: 15 Posted: 23 Dec 2002
Alex Frino and David R. Gallagher
The University of Sydney - Discipline of Finance and Capital Markets CRC Limited
Downloads 31 (452,184)
Citation 3
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benchmark index, index fund, investment performance, tracting error

32.

Market Behaviour around Bankruptcy Announcements: Evidence from the Australian Stock Exchange

Accounting & Finance, Vol. 47, No. 4, pp. 713-730, December 2007
Number of pages: 18 Posted: 11 Dec 2007
Alex Frino, Stewart Jones and Jin Boon Wong
The University of Sydney - Discipline of Finance, University of Sydney – School of Business and University of Sydney - Discipline of Accounting
Downloads 29 (461,523)
Citation 2
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33.

First-Sale Bias and Age Effects: Do 'New' Properties Sell at a Premium?

21st Australasian Finance and Banking Conference 2008 Paper
Number of pages: 20 Posted: 25 Aug 2008
Danika J. Wright, Alex Frino and Maurice Peat
The University of Sydney - Discipline of Finance, The University of Sydney - Discipline of Finance and The University of Sydney
Downloads 23 (492,958)

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Information asymmetry, housing market, matched sampling

34.

The Impact of Lunchtime Closure on Market Behaviour: Evidence from the Sydney Futures Exchange

Accounting and Finance, Vol. 41, pp. 25-40, July 2001
Number of pages: 16 Posted: 04 Nov 2003
Alex Frino and Roland Winn
The University of Sydney - Discipline of Finance and Capital Partners
Downloads 21 (504,200)
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35.

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 (509,844)
Citation 2
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36.

Commonality in Liquidity: Evidence from the Australian Stock Exchange

Accounting and Finance, Vol. 44, pp. 357-368, November 2004
Number of pages: 12 Posted: 06 Oct 2004
Alex Frino and Joel Fabre
The University of Sydney - Discipline of Finance and affiliation not provided to SSRN
Downloads 20 (509,844)
Citation 8
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37.

The Tick/Volatility Ratio as a Determinant of the Compass Rose: Empirical Evidence from Decimalisation on the NYSE

Accounting and Finance, Vol. 43, pp. 331-344, November 2003
Number of pages: 14 Posted: 15 Dec 2003
Michael D. McKenzie and Alex Frino
The University of Sydney - Discipline of Finance and The University of Sydney - Discipline of Finance
Downloads 19 (515,589)
Citation 1
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38.

Anonymity, Stealth Trading, and the Information Content of Broker Identity

Financial Review, Vol. 45, Issue 3, pp. 501-522, August 2010
Number of pages: 22 Posted: 13 Jul 2010
Alex Frino, David Johnstone and Hui Zheng
The University of Sydney - Discipline of Finance, University of Sydney Business School and Discipline of Finance, The University of Sydney
Downloads 4 (604,649)
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39.

Index Arbitrage and the Pricing Relationship between Australian Stock Index Futures and Their Underlying Shares

Accounting & Finance, Vol. 51, Issue 3, pp. 661-683, 2011
Number of pages: 23 Posted: 03 Aug 2011
James Richard Cummings and Alex Frino
affiliation not provided to SSRN and The University of Sydney - Discipline of Finance
Downloads 3 (612,117)
Citation 1
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Stock index futures, Arbitrage, Market efficiency, G13, G14

40.

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 (612,117)
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execution costs, opaque markets, information asymmetry, broker‐client relationships, G14, G15

41.

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 (612,117)
Citation 2
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42.

Does Insider Trading Explain Price Run‐Up Ahead of Takeover Announcements?

Accounting & Finance, Vol. 54, Issue 1, pp. 25-45, 2014
Number of pages: 21 Posted: 04 Mar 2014
Angelo Aspris, Sean Foley and Alex Frino
University of Sydney - Discipline of Finance, University of Sydney Business School and The University of Sydney - Discipline of Finance
Downloads 0 (651,081)
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Takeovers, Market efficiency, Market anticipation, Insider trading, Toeholds, Substantial shareholder notices

43.

The Impact of Auctions on Residential Property Prices

Accounting & Finance, Vol. 52, Issue 3, pp. 815-830, 2012
Number of pages: 16 Posted: 09 Sep 2012
Alex Frino, Maurice Peat and Danika J. Wright
The University of Sydney - Discipline of Finance, The University of Sydney and The University of Sydney - Discipline of Finance
Downloads 0 (651,081)
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Housing markets, Auctions, Hedonic regression, Sample selection

44.

Decomposing the Probability of Informed Trading Measure

Posted: 28 Aug 2012 Last Revised: 02 Oct 2018
Wang Chun Wei, Alex Frino and Dionigi Gerace
University of Queensland - Faculty of Business, Economics and Law, The University of Sydney - Discipline of Finance and The University of Sydney

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PIN, informed trading, information asymmetry, market microstructure

45.

Differences in the Cost of Trade Execution Services on Floor-Based and Electronic Futures Markets

Journal of Financial Services Research, Vol. 26, No. 1, August 2004
Posted: 05 Aug 2004
University of Sydney Business School, The University of Sydney - Discipline of Finance and The University of Sydney

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Commission rates, brokerage, automation, futures

46.

Slippage in Futures Markets: Evidence from the Sydney Futures Exchange

Posted: 02 Jan 2004
Alex Frino and Teddy Oetomo
The University of Sydney - Discipline of Finance and Schroder Investment Management Indonesia

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Slippage, Trading Costs, Sydney Futures Exchange

47.

Closing the Floor: Evidence of Price Discovery on the Sydney Futures Exchange

Babcock School Working Paper 98-022
Posted: 08 Nov 1998
Wake Forest University, The University of Sydney - Discipline of Finance and University of Memphis - Fogelman College of Business and Economics

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49.

The Effect of Information Motivated Trading Halts on Price Discovery: Evidence from the Australian Stock Exchange

Posted: 26 Mar 1997
Michael J. Aitken, Alex Frino and Roland Winn
Macquarie Graduate School of Management, The University of Sydney - Discipline of Finance and Capital Partners

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