Electronic trading systems and intraday non-linear dynamics: An examination of the FTSE 100 cash and futures returns

Arbeitspapier

This paper focuses on dynamic interactions of equity prices among theoretically related assets. We explore the existence of intraday non-linearities in the FTSE 100 cash and futures indices. We test whether the introduction of the electronic trading systems in the London Stock Exchange in 1997 and in the London International Financial Futures and Options Exchange (LIFFE) in 1999 has eliminated the non-linear dynamic relationship in the FTSE 100 markets. We show that the introduction of the electronic trading systems in the FTSE 100 markets has increased the efficiency of the markets by enhancing the price discovery process, namely by facilitating the increase of the speed of adjustment of the futures and cash prices to departures of the mispricing error from its non-arbitrage band. Nevertheless, we conclude that the automation of the markets has not completely eliminated the non-linear properties of the FTSE 100 cash and futures return series.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: CFS Working Paper ; No. 2007/20

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Asset Pricing; Trading Volume; Bond Interest Rates ; Information and Market Efficiency; Event Studies; Insider Trading ; International Financial Markets
• Thema: Intraday non-linearities ; Dynamic Spillovers ; Electronic Trading Systems ; Price Discovery Process ; Cost of Carry Model ; Regime Switching Model ; Vector Error Correction Mechanism ; SETAR Model ; Börsenkurs ; Kapitalertrag ; Börsen-Informationssystem ; Einführung ; Wertpapierbörse ; Wertpapiertermingeschäft ; Effizienzmarktthese ; Großbritannien

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Canto, Bea ; Kräussl, Roman
• Ereignis: Veröffentlichung
• (wer): Goethe University Frankfurt, Center for Financial Studies (CFS)
• (wo): Frankfurt a. M.
• (wann): 2007

Weitere Informationen

• Handle: http://hdl.handle.net/10419/25521
• URN: urn:nbn:de:hebis:30-44017
• Letzte Aktualisierung: 20.09.2024, 08:22 MESZ