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

  • The University of Sydney - Discipline of Finance

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    • Tel: +61 2 9299 1809
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SCHOLARLY PAPERS

36

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Top 12,953

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45

Scholarly Papers (36)

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1.

The Index Tracking Strategies of Passive and Enhanced Index Equity Funds

Downloads 1,156 (39,844)
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, Schroder Investment Management Indonesia and Bond University
Downloads 1,156 (39,201)
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
Alex Frino, Teddy Oetomo and David R. Gallagher
The University of Sydney - Discipline of Finance, Schroder Investment Management Indonesia and Bond University

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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 967 (51,368)
Citation 1

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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
University of Sydney and The University of Sydney - Discipline of Finance
Downloads 966 (51,430)
Citation 2

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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

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 734 (74,581)
Citation 1

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Block Trades, Market Microstructure

5.

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 520 (115,398)
Citation 1

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

6.

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 515 (116,731)
Citation 3

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Closing call auctions, liquidity

7.

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 Prodromou, George H. K. Wang, P. Joakim Westerholm and Hui Zheng
The University of Sydney - Discipline of Finance, The University of Wollongong, George Mason University - Department of Finance, University of Sydney Business School and Discipline of Finance, The University of Sydney
Downloads 495 (122,447)
Citation 2

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algorithmic trades [AT], execution algorithms, earnings announcements

8.

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 389 (162,436)

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Price Impact, Futures markets

9.

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

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 388 (162,890)
Citation 5

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

10.

Intranight Trading Behaviour

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 366 (173,809)

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Intranight, screen trading

11.

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
Macquarie University, The University of Sydney - Discipline of Finance and affiliation not provided to SSRN
Downloads 353 (180,848)

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Toehold, takeover, short term, long term

12.

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 348 (183,712)
Citation 1

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

13.

Price Behaviour Surrounding Blocks: Asymmetric or Bid-Ask Bias

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 333 (192,685)

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

14.

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, Schroder Investment Management Indonesia and Bond University
Downloads 320 (201,074)
Citation 1

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Price impact, transaction costs, index fund, active fund

15.

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 297 (217,810)
Citation 7

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anonymity, transparency, limit orders

16.

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 Schroder Investment Management Indonesia
Downloads 295 (219,347)

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transaction costs, institutional trading

17.

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 - Department of Finance and University of Sydney
Downloads 274 (236,813)

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

18.

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 - Department of Finance
Downloads 257 (252,722)
Citation 3

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

19.

The Cost of Trade Execution Services in Futures Markets

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 230 (281,994)

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Commission rates, Brokerage, Automation, Futures

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
University of Sydney and The University of Sydney - Discipline of Finance
Downloads 194 (331,123)
Citation 1

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

21.

Tax Effects on the Pricing of Australian Stock Index Futures

Number of pages: 29 Posted: 23 Nov 2011
James R. Cummings and Alex Frino
University of Sydney and The University of Sydney - Discipline of Finance
Downloads 183 (349,470)
Citation 5

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

22.

The Geographic Origin of Order Flow and Price Discovery

Downloads 173 (369,114)

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 - McIntire School of Commerce and Discipline of Finance, The University of Sydney
Downloads 95 (592,113)

Abstract:

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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 - McIntire School of Commerce and Discipline of Finance, The University of Sydney
Downloads 78 (674,420)

Abstract:

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Home bias, International order flow, Price discovery

23.

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 146 (423,916)
Citation 4

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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 132 (459,600)

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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 - Department of Applied Finance and Actuarial Studies and University of Wollongong - School of Accounting Economics and Finance
Downloads 129 (468,067)

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anonymity, liquidity, cross-listed, commonality in liquidity

26.

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 126 (476,781)

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

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, Maria Grazia Romano 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)Università degli Studi di Salerno
Downloads 125 (479,715)
Citation 1

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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
University of Memphis - Fogelman College of Business and Economics, The University of Sydney - Discipline of Finance and Securities and Exchange Commission (SEC)
Downloads 108 (535,984)
Citation 2

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Insider trading, Stock markets, Financial information

29.

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 79 (655,365)
Citation 1

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30.

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 57 (778,370)

Abstract:

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Information asymmetry, housing market, matched sampling

31.

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

32.

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

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:

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Commission rates, brokerage, automation, futures

33.

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

34.

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

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36.

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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