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Research Interests
- Security Market Design (Microstructure) with a special interest
in the design of electronic surveillance systems
Publications
For a full list of Publications
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Working Papers
- Price and volume effects associated with changes in the composition
of the All Ordinaries Index, with Carole Comerton-Forde.
- Intraday trading patterns on the Jakarta Stock Exchange,
with Carole Comerton-Forde
- Do closing call markets improve market efficiency?, with
Carole Comerton-Forde
- Investigation of Trading in Alternative Security Types on
SEATS, with Marvin Wee and Ruben Segara.
- The Impact of Warrant Introductions on the Behaviour of Underlying
Securities: Australian Evidence, with Rueben Segara.
The Intraday Behaviour of the Bid/Ask Schedule Under an Automated
Trading Regime, with P Brown and T Walter.
- Intraday Patterns in Returns, Trading Volume, Volatility
and Trading Frequency on SEATS, with P Brown and T Walter.
- Infrequent Trading and Firm Size Affects as Explanantiosn
for Intraday patterns in Returns of SEATS with P brown and T
Walter
- Estimating the premium charged by uninformed investors for
participating in the Australian Equities Market with Philip
Brown and Marvin Wee.
- PO Price Adjustment Dynamics and Aftermarket Price Discovery,
with Frederick H. deB. Harris, Thomas H. McInish and Kathryn
Wong, 2002.
- The Impact of Governemnt Bond Tender Offers on Derivative
Markets: Australian Evidence, with Natalie Oh and Terry Walter,
2002.
- The Impact of Removing Odd Lots on the Efficiency of the
ASX, 2001.
- The Determinanats of Market Impact Cost of Institutional
Trading on the ASX, with Nial Almeida, 2002
- The Premium Charged by Uninformed Traders (in particular
Passive Institutional) on the ASX, with Nial Almeida, 2002.
Teaching Responsibilities
Administrative Responsibilities
- CEO, Capital Markets Cooperative Research Centre
Other Information
RESEARCH GRANTS:
- 1983-91 Eight Faculty of Commerce Special Research Grants
supporting work on the effects of deregulation on the Australian
securities industry. ($25,000 cash)
- 1989 Unisearch Research Grant with Roger Simnett to develop
a bankruptcy prediction model for use by auditors. ($6,500 cash)
- 1990 Australian Stock Exchange Personal Grant to study the
microstructure of Australian share markets. ($50,000 cash)
- 1991 Coopers and Lybrand Research Grant to study the information
content of segmental reporting. ($1,500 cash)
- 1991 Coopers and Lybrand Research Grant to set up electronic
database for prices and financial history information. ($9,000
cash)
- 1990-2 Australian Research Council Grant with Professors Philip
Brown and Terry Walter to investigate aspects of the microstructure
of Australian share markets. ($66,568 cash)
- 1992-5 Australian Research Council Grant with P Swan to investigate
the efficiency and welfare effects of
simultaneous trading by brokers as principals and agents. ($148,000
cash)
- 1992-4 Australian Stock Exchange Personal Research Grant to
study the quality of Australian markets. ($120,000 cash)
- 1993 University of Sydney Research Grant, to study the use
of segment reporting by firms that are diversified, with J Pickering.
($4,000 cash)
- 1993 Digital Equipment Corporation Innovators Program, involving
the securing of a DEC 3000 alpha machine. ($140,000 in kind)
- 1994-6 Australian Research Council, Collaborative Grant, with
P Brown, H Izan and T Walter to study various aspects of the
microstructure of Australian equity markets. ($694,000 cash,
$300,000 in kind).
- 1994 Australian Research Council, Mechanism C, with P Brown,
H Izan and T Walter to provide infrastructure funding to support
co-operation between the Australian Stock Exchange and the University
system. ($143,000 cash).
- 1995-7 Australian Research Council, Collaborative Grant, with
P Booth and G Bradley to study various aspects of the microstructure
of Australian wholesale security (OTC) markets. ($800,000 cash,
$1,208,600 in kind)
- 1995-7 Australian Research Council, Large Grant, with P Swan
to study the costs and benefits of dual trading. ($150,000)
- 1996 Australian Research Council, Infrastructure Grant, with
P Swan et al. to establish a centralised computing resource
for 11 universities. (ARC - $700,000 cash). Associated funding
from Faculty and Central Administration ($300,000 cash)
- 1997-9 Australian Research Council, Collaborative Grant, with
A Frino, M McCorry, P Swan, and T Walter to study various aspects
of the microstructure of the Sydney Futures Exchange. ($750,000
cash, $250,000 in kind)
- 1997-9 Australian Stock Exchange, Research Infrastructure
Grant to sustain the work of SIRCA ($1,200,000)
- 1998-00 Australian Research Council, Collaborative Grant,
with P Booth, R Faff and T Valentine to study various aspects
of the microstructure of Australian wholesale security (OTC)
markets. ($780,000 cash, $1,000,000 in kind)
- 1999-01 IDAP Australia-China Links Research Programme, with
P Swan to assist with "Improving the Efficiency and Regulatory
Environment of Chinese Security Exchanges" ($191,000)
- 2000-03 Australian Research Council, Collaborative Grant,
with M. Briers, C. Plott and H. Outhred to study the development
of a market for emission trading. ($510,000 cash, $300,000 in
kind)
- 1999 Australian Research Council, Research Infrastructure
and Facilities Grant with D. Stokes to sustain the work of SIRCA
($1,110,000: ARC $540,000: industry/universities $550,000)
- 2001-03 Australian Research Council, SPIRT Grant, with A.
Frino to research the efficiency of the automation process in
futures markets ($570,000: ARC $300,000: Industry $270,000)
- 2001-06 Aus-Industry, Cooperative Research Centre Program,
CRC for Technology Enabled Capital Markets to continue a decade
of research and development into technological innovation in
capital markets (approximately $62 million: Government $14.2
million, Industry $7.5 million cash and $17.6 million in-kind,
Universities $4.7 million cash and $18 million in-kind)
- 2002-05 Systemic Infrastructure Initiative (SII), with Michael
Briers and Don Stokes to continue the development of
infrastructure for SIRCA ($8.7 million - Government $5.2 million,
Universities $2.5 million, Industry $1 million).
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