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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

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  • The University of Sydney - Discipline of Finance

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    • Tel: +61 2 9299 1809
    • Fax: +61 2 9299 1830
SCHOLARLY PAPERS

50

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7,896

CITATIONS
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64

Scholarly Papers (50)

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1.

The Index Tracking Strategies of Passive and Enhanced Index Equity Funds

Downloads 991 ( 17,600)
Citation 4

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
Alex Frino, Teddy Oetomo and David R. Gallagher
The University of Sydney - Discipline of Finance, The University of Sydney - Discipline of Finance and Capital Markets CRC Limited
Downloads 991 (17,275)
Citation 4

Abstract:

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
Alex Frino, Teddy Oetomo and David R. Gallagher
The University of Sydney - Discipline of Finance, The University of Sydney - Discipline of Finance and Capital Markets CRC Limited

Abstract:

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 804 (22,233)
Citation 2

Abstract:

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

3.

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 572 (37,012)
Citation 4

Abstract:

Block Trades, Market Microstructure

4.

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 567 (32,978)
Citation 1

Abstract:

Stock index futures, Arbitrage, Market efficiency

5.

Closing Call Auctions and Liquidity

Downloads 442 ( 53,070)
Citation 8

Closing Call Auctions and Liquidity

Number of pages: 25 Posted: 09 Apr 2003
Michael J. Aitken, Alex Frino and Carole Comerton-Forde
Macquarie Graduate School of Management, The University of Sydney - Discipline of Finance and University of Melbourne - Department of Finance
Downloads 410 (57,646)
Citation 8

Abstract:

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
Alex Frino, Michael J. Aitken and Carole Comerton-Forde
The University of Sydney - Discipline of Finance, Macquarie Graduate School of Management and University of Melbourne - Department of Finance
Downloads 32 (401,506)
Citation 8
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Abstract:

Call auctions, Liquidity, Market microstructure

6.

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 344 (69,775)

Abstract:

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

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 309 (73,637)

Abstract:

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

8.

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
Alex Frino, Tina Viljoen, George H. K. Wang, P. Joakim Westerholm and Hui Zheng
The University of Sydney - Discipline of Finance, University of Sydney Business School, George Mason University - Finance Area, University of Sydney Business School and Discipline of Finance, The University of Sydney
Downloads 289 (65,180)
Citation 1

Abstract:

algorithmic trades [AT], execution algorithms, earnings announcements

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 279 (86,579)

Abstract:

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

10.

How Broker Ability Affects Institutional Trading Costs

Downloads 268 ( 94,769)
Citation 3

How Broker Ability Affects Institutional Trading Costs

Number of pages: 27 Posted: 13 Aug 2003
Alex Frino, Carole Comerton-Forde, Christian Fernandez and Teddy Oetomo
The University of Sydney - Discipline of Finance, University of Melbourne - Department of Finance, The University of Sydney - Discipline of Finance and The University of Sydney - Discipline of Finance
Downloads 242 (104,982)
Citation 3

Abstract:

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
Carole Comerton-Forde, Alex Frino, Christian Fernandez and Teddy Oetomo
University of Melbourne - Department of Finance, The University of Sydney - Discipline of Finance, The University of Sydney - Discipline of Finance and The University of Sydney - Discipline of Finance
Downloads 26 (430,339)
Citation 3
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Abstract:

11.

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

Number of pages: 27 Posted: 07 Feb 2005
Alex Frino, Teddy Oetomo and David R. Gallagher
The University of Sydney - Discipline of Finance, The University of Sydney - Discipline of Finance and Capital Markets CRC Limited
Downloads 252 (94,769)
Citation 4

Abstract:

Price impact, transaction costs, index fund, active fund

12.

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

Number of pages: 25 Posted: 02 May 2005
Carole Comerton-Forde, Alex Frino and Vito Mollica
University of Melbourne - Department of Finance, The University of Sydney - Discipline of Finance and Macquarie Graduate School of Management
Downloads 211 (114,096)
Citation 9

Abstract:

anonymity, transparency, limit orders

13.

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 209 (116,595)

Abstract:

Intranight, screen trading

14.

The Cost of Trade Execution Services in Futures Markets

EFMA 2003 Helsinki Meetings
Number of pages: 26 Posted: 26 Apr 2003
Luke Gareth Bortoli, Alex Frino and Elvis Jarnecic
University of Sydney Business School, The University of Sydney - Discipline of Finance and The University of Sydney
Downloads 183 (133,499)

Abstract:

Commission rates, Brokerage, Automation, Futures

15.

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 - Finance Area
Downloads 181 (134,774)

Abstract:

Price Impact, Futures markets

16.

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, The University of Sydney - Discipline of Finance and affiliation not provided to SSRN
Downloads 174 (127,981)

Abstract:

Toehold, takeover, short term, long term

17.

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

Number of pages: 30 Posted: 03 Feb 2008
Johan Bjursell, Alex Frino, Yiuman Tse and George H. K. Wang
Credit Suisse AG, The University of Sydney - Discipline of Finance, University of Texas at San Antonio - College of Business and George Mason University - Finance Area
Downloads 163 (139,727)
Citation 1

Abstract:

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

18.

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
Alex Frino, Johan Bjursell, George H. K. Wang and Andrew Lepone
The University of Sydney - Discipline of Finance, Credit Suisse AG, George Mason University - Finance Area and University of Sydney
Downloads 139 (168,402)
Citation 2

Abstract:

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

19.

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 120 (188,293)

Abstract:

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

20.

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 106 (162,778)

Abstract:

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

21.

How Much Does an Illegal Insider Trade?

Downloads 92 (237,213)
Citation 3

How Much Does an Illegal Insider Trade?

Number of pages: 41 Posted: 16 Mar 2010
Alex Frino, Stephen E. Satchell, Brad Wong and Hui Zheng
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 90 (242,440)
Citation 3

Abstract:

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
Alex Frino, Stephen E. Satchell, Brad Wong and Hui Zheng
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 (567,844)
Citation 3
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Abstract:

22.

The Geographic Origin of Order Flow and Price Discovery

Downloads 91 (238,938)

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 52 (330,105)

Abstract:

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 39 (373,470)

Abstract:

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 90 (235,596)

Abstract:

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 75 (247,680)

Abstract:

Real estate finance, seasonality, house price index

25.

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
Jane Chau, Alex Frino, Gary Gang Tian and Shiguang Ma
University of Wollong - School of Accounting and Finance, The University of Sydney - Discipline of Finance, Macquarie University and University of Wollongong - School of Accounting Economics and Finance
Downloads 58 (295,883)

Abstract:

anonymity, liquidity, cross-listed, commonality in liquidity

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 58 (282,004)
Citation 1

Abstract:

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
Alex Frino, Vito Mollica and Maria Grazia Romano
The University of Sydney - Discipline of Finance, Macquarie Graduate School of Management and Centre for Studies in Economics and Finance (CSEF)
Downloads 50 (291,243)

Abstract:

block trade, market impact, asymmetry

28.

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
Thomas H. McInish, Alex Frino and Frank Sensenbrenner III
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 46 (277,543)

Abstract:

Insider trading, Stock markets, Financial information

29.

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 33 (388,036)
Citation 2
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Abstract:

30.

The Impact of Auctions on Residential Sales Prices: Australian Evidence

Number of pages: 16 Posted: 26 Aug 2010
Andrew Lepone, Alex Frino, Vito Mollica and Anthony Vassallo
University of Sydney, The University of Sydney - Discipline of Finance, Macquarie Graduate School of Management and The University of Sydney - Discipline of Finance
Downloads 32 (376,655)

Abstract:

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 (396,078)
Citation 3
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Abstract:

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 (404,650)
Citation 2
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Abstract:

33.

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 (443,800)
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Abstract:

34.

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 (449,016)
Citation 8
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Abstract:

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 19 (454,333)
Citation 2
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Abstract:

36.

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 (454,333)
Citation 1
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Abstract:

37.

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 (533,881)
Citation 1
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Abstract:

Stock index futures, Arbitrage, Market efficiency, G13, G14

38.

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 (533,881)
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Abstract:

execution costs, opaque markets, information asymmetry, broker‐client relationships, G14, G15

39.

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 James 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 3 (528,920)
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Abstract:

40.

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 (533,881)
Citation 2
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Abstract:

41.

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 and The University of Sydney - Discipline of Finance
Downloads 0 (565,074)
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Abstract:

Takeovers, Market efficiency, Market anticipation, Insider trading, Toeholds, Substantial shareholder notices

42.

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 (565,074)
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Abstract:

Housing markets, Auctions, Hedonic regression, Sample selection

43.

Decomposing the Probability of Informed Trading Measure

Posted: 28 Aug 2012 Last Revised: 28 Feb 2014
Wang Chun Wei, Alex Frino and Dionigi Gerace
Macquarie Group, The University of Sydney - Discipline of Finance and The University of Sydney

Abstract:

PIN, informed trading, information asymmetry, market microstructure

44.

The Impact of Underlying Market Closure on Futures Market Liquidity: A Note

International Journal of Banking and Finance, Vol. 9, No. 2, 2012
Posted: 28 Aug 2012 Last Revised: 28 Feb 2014
Wang Chun Wei and Alex Frino
Macquarie Group and The University of Sydney - Discipline of Finance

Abstract:

market microstructure, market closure theory, liquidity, Chinese futures market

45.

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 0 (443,800)

Abstract:

Information asymmetry, housing market, matched sampling

46.

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
Luke Gareth Bortoli, Alex Frino and Elvis Jarnecic
University of Sydney Business School, The University of Sydney - Discipline of Finance and The University of Sydney

Abstract:

Commission rates, brokerage, automation, futures

47.

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 The University of Sydney - Discipline of Finance

Abstract:

Slippage, Trading Costs, Sydney Futures Exchange

48.

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

Babcock School Working Paper 98-022
Posted: 08 Nov 1998
Frederick H. deB. Harris, Alex Frino and Thomas H. McInish
Wake Forest University, The University of Sydney - Discipline of Finance and University of Memphis - Fogelman College of Business and Economics

Abstract:

Abstract:

50.

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

Abstract:

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