Professor Andrew Lepone

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Andrew Lepone

Professor in Management (Finance)

MGSM

Contact Details

Tel: +61 2 9850 9975

Email: andrew.lepone@mgsm.edu.au

Expertise

Finance

Bio

About Professor Andrew Lepone

Professor in Management (Finance)

BMathFin (W'gong), PhD

Teaching Areas

  • Accounting, Economics & Finance
  • Raising Capital in Global Markets

Research Area Affiliations

  • Finance
  • Futures Market Microstructure

Research statement

Professor Lepone completed his Ph.D. at the University of Sydney in 2007. He is actively involved in research in the areas of equity and futures market microstructure, particularly related to the areas of market design and market quality. In particular, he has examined how particular market designs affect market quality, with a significant focus on High Frequency Trading. He has published numerous articles in leading internationally refereed journals, including the Journal of Banking and Finance, Journal of Financial Markets and the Journal of Empirical Finance.

Contribution to management practice

Professor Lepone is Head of Partner Relations at the Capital Market Cooperative Research Centre (CMCRC) where he is responsible for managing a range of domestic and international University and Industry partners.

Professor Lepone’s research outcomes have assisted in various market designs changes, including the structure of off-market block trading facilities on the ASX and minimum tick-size reductions for futures contracts.

Media topics

  • Security Market Microstructure
  • Derivatives
  • Institutional Investors
  • Capital Markets

Publications

Journal articles

  • Lepone, A., & Wong, J. B. (2017). Pseudo market-makers, market quality and the minimum tick size. International Review of Economics and Finance, 47, 88-100. DOI: 10.1016/j.iref.2016.10.002
  • Frino, A., Lepone, A., Mollica, V., & Zhang, S. (2016). Are Hedgers Informed? An Examination of the Price Impact of Large Trades in Illiquid Agricultural Futures Markets. Journal of Futures Markets, 36(6), 612-622. DOI: 10.1002/fut.21774
  • He, W.P., & Lepone, A. (2014). Determinants of liquidity and execution probability in exchange operated dark pool: evidence from the Australian Securities Exchange. Pacific-Basin Finance Journal, 30, 1-16.
  • Flint, A., Lepone, A., & Yang, J.Y. (2014). Do option strategy traders have a disadvantage? Evidence from the Australian options market. Journal of Futures Markets, 34(9), 838-852.
  • Frino, A., He, W.P., & Lepone, A. (2014). The Pricing and efficiency of Australian Treasury Bond futures. Australasian Accounting Business and Finance Journal, 8(2), 3-14.
  • Frino, A., Jones, S., Lepone, A., & Wong, J. B. (2014). Market behavior of institutional investors around bankruptcy announcements. Journal Of Business Finance and Accounting, 41(1-2), 270-295.
  • Lepone, A., & Yang, J. A. (2013). Informational role of market makers: The case of exchange traded CFDs. Journal of Empirical Finance, 23, 84-92. 
  • Lepone, A., Leung, H., & Li, G. (2013). Unequal access to analyst research. Australian Journal of Management, 38(2), 253-277.
  • He, W. P., Lepone, A., & Leung, H. (2013). Information asymmetry and the cost of equity capital. International Review of Economics & Finance, 27, 611-620.
  • Frino, A., Harris, F. H., Lepone, A., & Wong, J. B. (2013). The relationship between satellite and home market volumes: Evidence from cross-listed Singapore futures contracts. Pacific-Basin Finance Journal. 24, 301-311.
  • Lepone, A., & Yang, J. A. (2012). The impact of a pro-rata algorithm on liquidity: Evidence from the NYSE LIFFE. Journal of Futures Markets, 32(7), 660-682.
  • Lecce, S., Lepone, A., McKenzie, M. D., & Segara, R. (2012). The impact of naked short selling on the securities lending and equity market. Journal of Financial Markets, 15(1), 81-107.
  • Aspris, A., Frino, A., & Lepone, A. (2012). The Impact of Market Maker Competition on Market Quality: Evidence from an Options Exchange. Australasian Accounting Business and Finance Journal, 6(5), 23-46.
  • Frino, A., Lecce, S., & Lepone, A. (2011). Short-sales constraints and market quality: Evidence from the 2008 short-sales bans. International Review of Financial Analysis, 20(4), 225-236.
  • Frino, A., Kruk, J., & Lepone, A. (2011).The Determinants of Execution Costs in Short-Term Money Markets. The Financial Review (Statesboro), 46(3), 337-355.
  • Lepone, A., & Mistry, M. (2011). The Information Content of Undisclosed Limit Orders Around Broker Anonymity. Australasian Accounting Business and Finance Journal, 5(1), 5-18.
  • Lepone, A., Rahman, R. T., & Yang, J. Y. (2011). The Impact of European Union Emissions Trading Scheme (EU ETS) National Allocation Plans (NAP) on Carbon Markets. Low Carbon Economy, 2(2), 71-90.
  • Frino, A., Kruk, J., & Lepone, A. (2010). Liquidity and Transaction Costs in the European Carbon Futures Market. Journal of Derivatives and Hedge Funds, 16(2),100-115.
  • Lepone, A., & Yang, J. Y. (2010), The impact of off-market trading on liquidity: Evidence from the Australian options market. Journal of Futures Markets, 30(4), 361-377.
  • Frino, A., Lepone, A., Mollica, V., & Vassallo, A. (2010).The Impact of Auctions on Residential Sale Prices: Australian Evidence. Australasian Accounting Business and Finance Journal, 4(3), 3-22.
  • Gerace, D., & Lepone, A. (2010). The Intraday Behaviour of Bid-Ask Spreads Across Auction and Specialist Market Structures: Evidence from the Italian Market. Australasian Accounting Business and Finance Journal, 4(1), 29-52.
  • Alampieski, K., & Lepone, A. (2010). The impact of an increase in order-book transparency on market quality: Evidence from the Sydney Futures Exchange. Review of Futures Markets, 18(3), 225-537.
  • Frino, A., Lepone, A., & Wong, B. (2009). Derivative use, fund flows and investment manager performance. Journal of Banking & Finance, 33(5), 925-933.
  • Frino, A., Jarnecic, E., & Lepone, A. (2009). An Event Time Study of the Price Reaction to large retail trades. Quarterly Review of Economics and Finance, 49(2), 617-632.
  • Alampieski, K., & Lepone, A. (2009). Impact of a tick size reduction on liquidity: evidence from the Sydney Futures Exchange. Accounting and Finance, 49(1), 1-20.
  • Lepone, A., & Wong, B. (2009). Determinants of Credit Spread Changes: Evidence from the Australian Bond Market. Australasian Accounting Business and Finance Journal, 3(2), 26-35.
  • Frino, A., Bjursell, J., Wang, G. H. K., & Lepone, A. (2008). Large Trades and Intraday Futures Price Behavior. The Journal of Futures Markets, 28(12), 1147-1181.
  • Frino, A., Gerace, D., & Lepone, A. (2008). Limit order book, anonymity and market liquidity: evidence from the Sydney Futures Exchange. Accounting and Finance, 48(4), 561-573.
  • Frino, A., Gerace, D., & Lepone, A. (2008). Liquidity in auction and specialist market structures: Evidence from the Italian bourse. Journal of Banking & Finance, 32(12), 2581-2588.
  • Frino, A., Lepone, A., & Wearin, G. (2008). Intraday Behaviour of Market Depth in a Competitive Dealer Market: A Note. Journal of Futures Markets, 28(3), 294-307.
  • Frino, A., Gerace, D., Lepone, A., & Wong, B. (2008). Do Derivatives Improve Managed Fund Performance?. JASSA, 3, 5-10.
  • Frino, A., Kruk, J., & Lepone, A. (2007). Transactions in Futures Markets: Informed or Uninformed?. The Journal of Futures Markets, 27(12), 1159-1174.
  • Frino, A., Jarnecic, E., & Lepone, A. (2007). The determinants of the price impact of block trades: further evidence. Abacus, 43(1), 94-106.
  • Frino, A., Jarnecic, E., Johnstone, D., & Lepone, A. (2005). Bid-Ask Bounce and the Measurement of Price Behaviour Around Block Trades on the Australian Stock Exchange. Pacific-Basin Finance Journal, 13(3), 247-262.

Book chapters

  • Lepone, A., Segara, R., & Wong, B. (2012). “Does broker anonymity hide informed traders?”, In  J. J. Choi, & H. Sami (Eds.), International Finance Review Volume 13 - Transparency and Governance in a Global World (pp. 287-317). Bingley, UK: Emerald.
  • Frino, A., Kruk, J., & Lepone, A. (2008). “Price Behaviour Surrounding Block Transactions in Stock Index Futures Markets: International Evidence”, In S-J. Kim, & M. D. Mckenzie (Eds.),International Finance Review Volume 8 - Asia-Pacific Financial Markets: Integration, Innovation and Challenges (pp. 289-303). Bingley, UK: Emerald.

Conference papers

  • Frino, A., Gong, G., & Lepone, A. (2013). Price impact of corporate bond trading: evidence from the Australian Securities Exchange. IV World Finance Conference (pp. 1-27). Limassol, Cyprus: World Finance.
  • Lepone, A., & Li, J. (2011). Anonymity and Heterogeneously Informed Brokers. International Conference on Financial Management and Economics ICFME 2011. Hong Kong.
  • Yang, J., & Lepone, A. (2011). CFDs and Liquidity Provision. International Conference on Financial Management and Economics ICFME 2011. Hong Kong.
  • Leung, H., Lepone, A., & Segara, R. (2010). Information Asymmetry around Earnings Announcements in the Order Driven Market: Australian Evidence. 2nd Financial Management Association FMA International Annual Asian Conference 2010.Singapore: Singapore Management University.
  • Lepone, A., & Yang, J. (2010) The Impact of Option Listings on the Underlying Market: Evidence from the Australian Stock Exchange. 19th European Finance Management Association EFMA Annual Meeting 2010, Aarhus, Denmark.
  • Flint, A., Gerace, D., & Lepone, A. (2010). Market Quality Surrounding a Tick Size Increase: Evidence from the Sydney Futures Exchange. 19th European Finance Management Association EFMA Annual Meeting 2010. Aarhus, Denmark.
  • Lepone, A., & Mistry, M. (2010). The Impact of Limit Order Anonymity on the Short Term Information Content of Hidden Orders: Evidence from the Australian Securities Exchange. 19th European Finance Management Association EFMA Annual Meeting 2010. Aarhus, Denmark.
  • Lepone, A., & Rahman, R. (2010). The Impact of European Union Emissions Trading Scheme (EU ETS) National Allocation Plans (NAP) on Carbon Markets. 19th European Finance Management Association EFMA Annual Meeting 2010. Aarhus, Denmark.
  • Flint, A., Frino, A., Gerace, D., & Lepone, A. (2010). Intraday Patterns in Quoted Depth on the Nasdaq: A Note. 19th European Finance Management Association EFMA Annual Meeting 2010. Aarhus, Denmark.
  • Lepone, A., Frino, A., & Kruk, J. (2009). The determinants of execution costs in opaque markets. European Financial Management Association Annual Meeting EFMA 2009 - For the Increase and Dissemination of Financial Management Knowledge. Milan, Italy.
  • Pattenden, K., Aspris, A., Cummings, J., Frino, A., & Lepone, A. (2009). The Impact of Market Maker Competition on Market Quality: Evidence from an Options Exchange. European Financial Management Association Annual Meeting EFMA 2009- For the Increase and Dissemination of Financial Management Knowledge. Milan, Italy.
  • Lepone, A., & Yang, J. (2008). The impact of off-market trading on liquidity: Evidence from the Australian options market. 21st Australasian Finance and Banking Conference. Sydney, Australia.
  • Frino, A., Lepone, A., & Wang, GHK. (2008). The Impact of Large "Outside Customer" Trades on S&P 500 Index Futures Prices.2008 FMA (Financial Management Association) Annual Meeting. Dallas, United States.
  • Frino, A., Kruk, J., & Lepone, A. (2008). The role of information and broker-client relationships in the money market. 2008 AFAANZ/IAAER Conference. Sydney, Australia.
  • Frino, A., Lepone, A., & Wong, B. (2008). Derivative use, fund flows and investment manager performance. 2008 AFAANZ/IAAER Conference. Sydney, Australia.
  • Aspris, A., Frino, A., & Lepone, A. (2008). The Effect of Market Maker Competition in an Electronic Limit Order Market: Evidence from the Australian Equities Options Market. 2008 AFAANZ/IAAER Conference. Sydney, Australia.
  • Frino, A., Gerace, D., & Lepone, A. (2006). Bid-ask spreads under auction and specialist market structures: Evidence from the Italian bourse. European Financial Management Annual Meeting. Madrid, Spain.
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