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Elvis Jarnecic

Elvis Jarnecic

BCom(Hons) PhD
Senior Lecturer
elvis.jarnecic@sydney.edu.au

Room 444
H69 - Economics and Business Building
The University of Sydney
NSW 2006 Australia


Phone: +61 2 9351 8708
Fax: +61 2 9351 6461

Research Expertise

  • Behavioural finance
  • Derivatives
  • Derivatives markets
  • Investor behavior and stock market dynamics
  • Investor trading strategies and behaviour
  • Liquidity
  • Market microstructure
  • Securities market microstructure
  • Stock market liquidity
  • Trading behaviour

Research Interests

    Publications

    2011

    4
    Journal Article/s

    Jarnecic E and Liu Y 2011 'The Ex-Dividend Performance of ASX200 Stocks Measured Against the 45-Day Holding Rule(January 2000 – March 2011)', Market Insights, vol.June:34, pp. 1-23

    5
    Conference Paper/s

    Grant A, Jarnecic E and Su M 2011 'Asymmetric Effects of Sell-Side Analyst Optimism and Broker Market Share by Clientele, European Finance Association Meeting 2011, Stockholm, Sweden, 20th October 2011

    Grant A, Jarnecic E and Su M 2011 'Asymmetric Effects of Sell-Side Analyst Optimism and Broker Market Share by Clientele, 18th Annual Conference of the Multinational Finance Society MFS 2011, Rome, Italy, 29th June 2011

    2010

    4
    Journal Article/s

    Frino A, Jarnecic E and Felleto R 2010 'Local trader profitability in futures markets: Liquidity and position taking profits', Journal of Futures Markets, vol.30:1, pp. 1-24

    Frino A, Jarnecic E and Zheng H 2010 'Activity in futures: does underlying market size relate to futures trading volume?', Review of Quantitative Finance and Accounting, vol.34:3, pp. 313-25

    5
    Conference Paper/s

    Jarnecic E and Snape MRichar 2010 'An analysis of trades by high frequency participants on the London Stock Exchange, 17th Annual Conference of the Multinational Finance Society MFS 2010, Barcelona, Spain, 30th June 2010

    2009

    4
    Journal Article/s

    Frino A, Jarnecic E and Lepone A 2009 'An Event Time Study of the Price Reaction to large retail trades', Quarterly Review of Economics and Finance, vol.49:2, pp. 617-32

    6
    Conference Proceeding/s

    Jarnecic E 2009 'Institutional and retail participants in options markets: liquidity and position taking profits', 16th Annual Conference of the Multinational Finance Society 2009, Rethymno, Crete, Greece, 1st July 2009

    2008

    2
    Book Section/s

    Jarnecic E 2008 'Trading Costs and Order Execution' in Trade Execution, Arbitrage and Dealing in Australia, ed. Frino A & Segara R, Pearson Education, Sydney, Australia, pp. 35-65

    4
    Journal Article/s

    Jarnecic E, Segara R, Segara L and Westerholm J 2008 'The Scholarly Output of Universities and Academics in the Asia-Pacific Region Who Publish in Major Finance Journals: 2000-2007', Australasian Accounting Business and Finance Journal, vol.2:3, pp. 26-56

    6
    Conference Proceeding/s

    Jarnecic E and Liu K 2008 'Trader Profits by Institutional and Retail Participants in Options Markets', 17th Annual Meeting-European Financial Management Association EFMA 2008, Athens, Greece, 28th June 2008

    2007

    4
    Journal Article/s

    Frino A, Jarnecic E and Lepone A 2007 'The determinants of the price impact of block trades: further evidence', Abacus, vol.43:1, pp. 94-106

    2006

    2
    Book Section/s

    Frino A, Jarnecic E and McInish T 2006 'The option value of the limit order book' in Advances in Quantitative Analysis of Finance and Accounting: Essays in Microstructure in Honor of David K Whitcomb, ed. I Brick, T Ronen and C Lee, World Scientific

    4
    Journal Article/s

    Tan A, Stevenson M, Frino A and Jarnecic E 2006 'Sources of price discovery in the Australian dollar currency market', Review of Futures Markets, vol.15:1, pp. 45-83

    Bortoli L, Frino A, Jarnecic E and Johnstone D 2006 'Limit order book transparency, execution risk, and market liquidity: Evidence from the Sydney Futures Exchange', Journal of Futures Markets, vol.26:12, pp. 1147-1168

    Keller A, Stevenson M and Jarnecic E 2006 'The impact of market closure on option volumes at the ASX', JASSA, vol.Summer

    6
    Conference Proceeding/s

    Tan A, Frino A, Stevenson M and Jarnecic E 2006 'Sources of price discovery in the Australian dollar currency market', Proceedings of the 16th Annual Asia-Pacific Futures Research Symposium, Bangkok, Thailand, 1st January 2006-31st December 2006

    Bortoli L, Frino A, Jarnecic E and Johnstone D 2006 'Limit order book transparency, execution risk and market liquidity', European Financial Management Annual Meeting, Madrid, Spain, 1st July 2006 Link

    Tan A, Stevenson M, Frino A and Jarnecic E 2006 'Sources of price discovery in the Australian dollar currency market', Proceedings of the 16th Annual Asia-Pacific Futures Research Symposium, Bangkok, Thailand, 24th March 2006

    2005

    1
    Book/s

    Frino A and Jarnecic E 2005 'Introduction to futures and options markets in Australia', Pearson Education Australia, Frenchs Forest, NSW, Australia, pp. 112

    4
    Journal Article/s

    Frino A, Jarnecic E, Johnstone D and Lepone A 2005 'Bid-Ask Bounce and the Measurement of Price Behaviour Around Block Trades on the Australian Stock Exchange', Pacific Basin Finance Journal, vol.13:3, pp. 247-262 Link

    Frino A, Bortoli L and Jarnecic E 2005 'The impact of automation on the cost of transacting in futures markets', Journal of Financial Transformation, vol.14, pp. www

    5
    Conference Paper/s

    Bortoli L, Frino A, Jarnecic E and Johnstone D 2005 'Limit order book transparency, execution risk and market liquidity, 18th Australasian Finance and Banking Conference, Sydney, Australia, 16th December 2005

    6
    Conference Proceeding/s

    Frino A, Jarnecic E and Lepone A 2005 'An event time study of the price reaction to block trades on the Australian Stock Exchange', European Financial Management Association (EFMA) Annual Meeting, Milan, Italy, 2nd July 2005 Link

    2004

    4
    Journal Article/s

    Frino A, Hill A, Jarnecic E and Aitken M 2004 'The impact of electronic trading on bid-ask spreads: Evidence from futures markets in Hong Kong, London and Sydney', Journal of Futures Markets, vol.24:7, pp. 675-696 Link

    Kalev P, Liu W, Pham PK and Jarnecic E 2004 'Public information arrival and volatility of intraday stock returns', Journal of Banking & Finance, vol.28:6, pp. 1441-67

    Jarnecic E, Frino A and Bortoli L 2004 'Differences in the cost of trade execution services on floor-based and electronic futures markets', Journal of Financial Services Research, vol.26:1, pp. 73-87

    Gallagher D and Jarnecic E 2004 'International equity funds, performance and investor flows: Australian evidence', Journal of Multinational Financial Management, vol.14:1, pp. 81-95

    Jarnecic E 2004 'The buy-write strategy versus the index portfolio', JASSA:2, pp. 36-39

    5
    Conference Paper/s

    Tan A and Jarnecic E 2004 'An analysis of the tick size: Evidence from Sydney Futures Exchange, 17th Australasian Banking and Finance Conference, Sydney, NSW, Australia, 17th December 2004

    Frino A, Jarnecic E and Lepone A 2004 'The determinants of the price impact of block trades on the Australian Stock Exchange, Accounting and Finance Association of Australia and New Zealand (AFAANZ) Conference, Alice Springs, NT, Australia, 6th July 2004

    Frino A, Jarnecic E and Lepone A 2004 'Bid-ask bounce and the measurement of price behaviour around block trades on the Australian Stock Exchange, European Financial Management Association (EFMA) Annual Meeting, Basel, Switzerland, 3rd July 2004

    2003

    5
    Conference Paper/s

    Frino A, Jarnecic E and Lepone A 2003 'Bid-ask bounce and the measurement of price behaviour around block trades on the Australian Stock Exchange, Australasian Finance and Banking Conference, 20th December 2003

    Frino A, Jarnecic E and Lepone A 2003 'The price impact of block trades on the Australian Stock Exchange, AFAANZ, 8th July 2003

    2002

    4
    Journal Article/s

    Gallagher D and Jarnecic E 2002 'The Performance of Active Australian Bond Funds', Australian Journal of Management, vol.27:2, pp. 163-86

    2000

    4
    Journal Article/s

    Frino A, Hill A and Jarnecic E 2000 'An empirical analysis of price and time priority and pro rata trade execution algorithms in screen-traded markets', Journal of Derivatives, vol.7:4, pp. 41-418

    Frino A and Jarnecic E 2000 'An empirical analysis of the supply of liquidity by locals in futures markets: Evidence from the Sydney futures exchange', Pacific Basin Finance Journal, vol.8:3-4, pp. 443-456

    1999

    4
    Journal Article/s

    Jarnecic E 1999 'Trading volume lead-lag relations between the ASX and ASX option market: implications of market microstructure', Australian Journal of Management, vol.24:1, pp. 77-94

    1998

    10
    Report/s

    Jarnecic E and Frino A 1998 'Do locals provide liquidity?',

    1997

    4
    Journal Article/s

    Jarnecic E, Aitken M and Walter T 1997 'The ASX equity and option markets: Does one lead the other?', ASX Perspective, pp. 50-54

    Frino A, Aitken M and Jarnecic E 1997 'Intraday returns and the frequency of trading at the ask in Sydney futures exchange: A research note', Abacus, vol.33:2, pp. 228-235

    10
    Report/s

    Winn R, Jarnecic E and McCorry M 1997 'Periodic return time-series, capitalisation adjustments and beta estimation', SIRCA Report prepared for the Australian Stock Exchange

    Jarnecic E, Winn R and McCorry M 1997 'Periodic return time-series, capitalisation adjustments and beta estimation', SIRCA Report prepared for the Australian Stock Exchange

    Aitken M, Frino A, Jarnecic E, McCorry M, Winn R and Segara R 1997 'The microstructure of the Australian Stock Exchange: An introduction', Asia Pacific Capital Markets Foundation

    1996

    4
    Journal Article/s

    Jarnecic E, Aitken M and Frino A 1996 'Are options beneficial for investors of underlying stocks', ASX Perspective, pp. 72-76

    Jarnecic E, Aitken M, Frino A, Winn R and McCorry M 1996 'The microstructure of the Australian Stock Exchange', Asia Pacific Capital Markets Foundation

    10
    Report/s

    Winn R, Aitken M, Frino A, Jarnecic E and McCorry M 1996 'The Microstructure of the Australian Stock Exchange', Asia Pacific Capital Markets Foundation

    Research Expertise

      Research Interests

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