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Tina Viljoen

Tina Viljoen


Lecturer

Rm 434
H69 - Economics and Business Building
The University of Sydney
NSW 2006 Australia

Telephone +61 2 9036 9308
T.Viljoen@econ.usyd.edu.au

Bio

Dr. Tina Viljoen has a PhD in Finance from the University of Sydney. Her research interests and expertise are primarily in the areas of security microstructure on issues related to high frequency trading and efficiency of capital markets.

She also holds a Bachelor of Information Systems, from the University of Johannesburg, South Africa and an honours and master degree in Investment Management at the same institution.

Publications

2015

5
Conference Paper/s

Gerace D, Zheng H, Westerholm J and Viljoen T 2015 Forthcoming 'Dynamic Trading Strategies With Fleeting Orders', World Finance Conference, Buenos Aires, Argentina, 24th July 2015

2014

4
Journal Article/s

Viljoen T, Westerholm J and Zheng H 2014 'Algorithmic Trading, Liquidity, and Price Discovery: An Intraday Analysis of the SPI 200 Futures', The Financial Review (Special Issue on Computerized and High-Frequency Trading), vol.49:2, pp. 245-70 Link

2013

5
Conference Paper/s

Frino A, Viljoen T, Westerholm J, Zheng H and Wang GHK 2013 'Are Algorithmic Trades Informed? An Empirical Analysis of Algorithmic Trading around Earnings Announcements (Semifinalist for one of four best paper awards - Market Microstructure category)', Financial Management Association Annual Meeting FMA 2013, Chicago, United States, 19th October 2013

Frino A, Viljoen T, Wang GHK, Westerholm J and Zheng H 2013 'Are Algorithmic Trades Informed? An Empirical Analysis of Algorithmic Trading Around Earnings Announcements (Semifinalist for the CFA Institute Research Award)', Financial Management Association Asia Conference 2013, Shanghai, China, 19th April 2013

Frino A, Viljoen T, Wang GHK, Westerholm J and Zheng H 2013 'Are Algorithmic Trades Informed? An Empirical Analysis of Algorithmic Trading Around Earnings Announcements', The Symposium on the Financial Econometrics and Market Microstructure 2013, Melbourne, Australia, 1st February 2013

2012

5
Conference Paper/s

Viljoen T, Westerholm J and Zheng H 2012 'Fleeting Orders and Dynamic Trading Strategies', 10th INFINITI Conference on International Finance, Dublin, Ireland, 12th June 2012

2011

5
Conference Paper/s

Viljoen T, Westerholm J and Zheng H 2011 'Liquidity and Price Discovery of Algorithmic Trading: An Intraday Analysis on the SPI Futures Contract', 24th Australasian Finance and Banking Conference 2011, Sydney, Australia, 16th December 2011

2010

5
Conference Paper/s

Viljoen T, Westerholm J and Zheng H 2010 'The effect on liquidity and spreads from the introduction of algorithmic trading', 8th INFINITI Conference on International Finance, Dublin, Ireland, 15th June 2010

Research Grants

2014 - 2015

Determinants of Insiders’ Trading Performance: Private Information, Network or Skill?

The aim of this project is to test the following hypotheses in the Australian share markets:

  1. Do insiders who trade securities of the firm where they are registered as insiders earn significant abnormal profits?
  2. Do insiders that have a higher status within the network of corporate directors, based on current and past interlocking directorships, earn significantly higher abnormal profits than the insiders in a) (on trades in firms where they are registered as insiders)?
  3. Do outside household investors sustain significant abnormal losses when they trade in proximity of the insider trades in a) and b) above?

This research has important implications for insider trading regulation, and is expected to contribute to greater market efficiency, integrity and fairness. The outcomes will promote theoretical developments in the literature that ultimately will help policy makers to optimise the trade-off between protecting uninformed investors from trading with insiders, versus the ability of insiders to trade freely on public information. At the end of this project we aim to provide distinct policy recommendations regarding methods for detecting and measuring insider trading in three areas a) trades connected directly to the insider’s family, b) trades connected to directors with interlocking directorships with an insider and c) trades connected to employees of securities firms. Our previous research provides strong indications that increased transparency of all trades that directors and their network of past and present associates are involved with, will significantly reduce the profitability of trades based on inside information.

CIFR Research Project

See all Business School Grants

Recent Units Taught