Market Microstructure: A Review from Down Under

29 Pages Posted: 2 Mar 2011

See all articles by Henk Berkman

Henk Berkman

University of Auckland - Business School

Carole Comerton-Forde

UNSW Business School; Financial Research Network (FIRN)

Date Written: March 1, 2011

Abstract

The early automation of the Australian and New Zealand financial markets provided researchers with access to high-frequency data to undertake extensive empirical market microstructure research. We use this anniversary edition of Accounting and Finance to review some of this research and to discuss the development of the Australian and New Zealand markets since their automation. We identify issues currently facing the markets and highlight potential areas for future research. The paper also provides a review of market microstructure theory on inventory control models and asymmetric information models.

Keywords: Market microstructure, Transaction costs, Liquidity, Market design, Bidask spread

JEL Classification: G10, G34

Suggested Citation

Berkman, Henk and Comerton-Forde, Carole, Market Microstructure: A Review from Down Under (March 1, 2011). Accounting & Finance, Vol. 51, Issue 1, pp. 50-78, 2011. Available at SSRN: https://ssrn.com/abstract=1774326 or http://dx.doi.org/10.1111/j.1467-629X.2010.00377.x

Henk Berkman (Contact Author)

University of Auckland - Business School ( email )

Private Bag 92019
Room: 577
Auckland
New Zealand
(64 9) 3737599 Ext. 7181 (Phone)
(64 9) 3737406 (Fax)

Carole Comerton-Forde

UNSW Business School ( email )

UNSW Business School
High St
Sydney, NSW 2052
Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

HOME PAGE: http://www.firn.org.au

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