and had a scholarship from the Sydney Futures Exchange throughout her candidature. She graduated with first class honours in finance from the University of Sydney in 2004 (BCom, Hons). She currently works as an associate analyst at Deutsche Bank in Sydney.

Using a proprietary data set from the Sydney Futures Exchange, this study reconciles an inconsistency in futures microstructure literature. One strand of the literature documents that single trades in futures markets contain information, whereas another strand finds that trade packages in futures markets do not contain information. This study controls for methodological and sample differences in examining the price impact of individual trades and trade packages. We find little evidence that transactions in futures markets contain information.

Prior research attributes the observed negative relation between execution costs and trade size in opaque markets to two factors-information asymmetry and broker-client relationships. We provide evidence that a trader's ex ante transaction price information and the relationship traders have with their brokers are both significant determinants of a trader's execution costs in an opaque market; however, traders who establish strong relationships with their brokers will achieve a greater reduction in execution costs than traders with ex ante transaction price information. We also find evidence that trade size has little explanatory power after controlling for a trader's ex ante transaction price information and broker-client relationships.

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