%0 Journal Article
%T Intraday Trading Patterns in the Equity Warrants and Equity Options Markets: Australian Evidence
%A Lydia Segara
%A Reuben Segara
%J Australasian Accounting Business and Finance Journal
%D 2007
%I University of Wollongong
%X This paper extends the microstructure literature, by examining the previouslyundocumented intraday trading patterns in trading volume, price volatility, order depthand relative spreads for both the warrant and option market in Australia. Comparisons ofintraday variations across these derivative securities allows for insight to be drawn intocompeting market microstructure theories and provides the opportunity to examinewhether market design differences explain variations in observed intraday patterns. Wefind that intraday trading patterns documented in the warrant and option markets can beexplained by their market designs, along with theories relating to time-varying informationasymmetry and time-varying hedging trades around nontrading periods.
%K Warrants market
%K Options market
%K Australian Stock Exchange
%K Intraday trading behaviour
%U http://ro.uow.edu.au/aabfj/vol1/iss2/5