User profiles for Elvis Jarnecic
Elvis JarnecicSenior Lecturer of Finance, University of Sydney Verified email at sydney.edu.au Cited by 995 |
Public information arrival and volatility of intraday stock returns
This study employs firm-specific announcements as a proxy for information flows and investigates
the information–volatility relation using high-frequency data from the Australian Stock …
the information–volatility relation using high-frequency data from the Australian Stock …
The provision of liquidity by high‐frequency participants
E Jarnecic, M Snape - Financial Review, 2014 - Wiley Online Library
This paper examines the order submission strategies and supply of liquidity by high‐frequency
participants versus the remainder of participants in the limit order book. The results show …
participants versus the remainder of participants in the limit order book. The results show …
The impact of electronic trading on bid‐ask spreads: Evidence from futures markets in Hong Kong, London, and Sydney
…, A Frino, AM Hill, E Jarnecic - Journal of Futures …, 2004 - Wiley Online Library
During 1999 and 2000, three major futures exchanges transferred trading in stock index
futures from open outcry to electronic markets: the London International Financial Futures and …
futures from open outcry to electronic markets: the London International Financial Futures and …
The determinants of alternative trading venue market share: Global evidence from the introduction of Chi-X
PW He, E Jarnecic, Y Liu - Journal of Financial Markets, 2015 - Elsevier
In this paper, we examine market share drivers of a prominent alternative trading venue (Chi-X)
in an international context. We find that Chi-X׳s market share is negatively related to …
in an international context. We find that Chi-X׳s market share is negatively related to …
The determinants of the price impact of block trades: further evidence
This article extends previous literature which examines the determinants of the price impact
of block trades on the Australian Stock Exchange. As previous literature suggests that …
of block trades on the Australian Stock Exchange. As previous literature suggests that …
Limit order book transparency, execution risk, and market liquidity: Evidence from the Sydney Futures Exchange
L Bortoli, A Frino, E Jarnecic… - Journal of Futures …, 2006 - Wiley Online Library
This study provides new evidence regarding the effect of limit order book disclosure on trading
behavior. The natural experiment affected by the Sydney Futures Exchange in January …
behavior. The natural experiment affected by the Sydney Futures Exchange in January …
The performance of active Australian bond funds
DR Gallagher, E Jarnecic - Australian journal of …, 2002 - journals.sagepub.com
This paper examines the investment performance of active Australian bond funds and the
impact of investor fund flows on portfolio returns. Security selection and market timing …
impact of investor fund flows on portfolio returns. Security selection and market timing …
Local Experiences, Search, and Spillovers in the Housing Market
… Elvis Jarnecic is with the University of Sydney Business School. We are grateful for the … ,
and Jarnecic signed a nondisclosure agreement to get access to the data. Jarnecic acted as an (…
and Jarnecic signed a nondisclosure agreement to get access to the data. Jarnecic acted as an (…
International equity funds, performance, and investor flows: Australian evidence
DR Gallagher, E Jarnecic - Journal of Multinational Financial Management, 2004 - Elsevier
This is the first paper in the Australian literature to examine the investment performance of
actively managed international equity funds (domiciled in Australia). Both institutional and …
actively managed international equity funds (domiciled in Australia). Both institutional and …
Bid–ask bounce and the measurement of price behavior around block trades on the Australian Stock Exchange
This paper analyses the price behavior surrounding block transactions on the Australian
Stock Exchange. Previous research documents a price reversal following block sales and a …
Stock Exchange. Previous research documents a price reversal following block sales and a …