LIFFE cycles: intraday evidence from the FTSE-100 Stock Index futures market

淡江大學機構典藏 > 商管學院 > 財務金融學系暨研究所 > 期刊論文 > Item 987654321/72524

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题名:	LIFFE cycles: intraday evidence from the FTSE-100 Stock Index futures market
作者:	A. Abhyankar;L.S. Copeland;W. Wong=黃文光
贡献者:	淡江大學財務金融學系
关键词:	Trading Volume;Bid-ask Spread;Stock Index;Futures;Volatility;Liffe
日期:	2010-10-14
上传时间:	2011-10-24 10:31:56 (UTC+8)
摘要:	We use a data set consisting of a complete history of all transactions and quotes to examine intraday patterns in trading volume, volatility and the quoted bid-ask spread in the market for FTSE-100 index futures. We document a number of regularities in the pattern of daily returns and volatility of the cash index. We also document intraday patterns in the basis, i.e. the contemporaneous difference between the futures price and the underlying cash index level. In general, we find returns vary over the day, reflecting in particular the influence of the US market openings in early afternoon London-time. We find that, while both volume and volatility exhibit a U-shaped pattern over the day, movements in the spread tend if anything to follow the opposite pattern. As far as consistency with microstructure models is concerned, our results are more supportive of the Brock and Kleidon model than the Admati and Pfleiderer model.
關聯:	The European Journal of Finance 5(2), pp.123-139
DOI:	10.1080/135184799337136
显示于类别:	[財務金融學系暨研究所] 期刊論文

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