Search Results - subject:"FTSE"

Was the stock exchange crisis of 2007 predictable?

POPESCU, Ion; STOICA, Victor; MERUTA, Alexandrina - Facultatea de Finante şi Banci, Universitatea Spiru Haret - 2009

The aim is to try to solve the dilemma if could be predictable exchange crisis from 2007 in the conditions of market globalization, including stock exchange, under the risk of system. In such circumstances, the value judgments based on those three major developments (The Big Three) recorded in...

Persistent link: https://www.econbiz.de/10004995285

Trade transparency and trading volume: the possible impact of the financial instruments markets directive on the trading volume of EU equity markets

Avgouleas, Emilios; Degiannakis, Stavros - In: International Journal of Financial Markets and Derivatives 1 (2009) 1, pp. 96-123

trading volume levels before and after trading in FTSE100 stocks on the London Stock Exchange (LSE) shifted from the quote …

Persistent link: https://www.econbiz.de/10008755237

Intraday and Interday Basis Dynamics: Evidence from the FTSE 100 Index Futures Market

Garrett, Ian; Taylor, Nicholas - In: Studies in Nonlinear Dynamics & Econometrics 5 (2007) 2, pp. 1076-1076

We examine the intraday and interday dynamics of both the level of and changes in the FTSE (Financial Times …

Persistent link: https://www.econbiz.de/10004966123

TESTING EFFICIENCY AND THE UNBIASEDNESS HYPOTHESIS OF THE EMERGING GREEK FUTURES MARKET

Kenourgios, Dimitris - EconWPA - 2005

This paper investigates the joint hypothesis of market efficiency and unbiasedness of futures prices for the FTSE-20 … blue chip index futures contract. The FTSE/ATHENS STOCK EXCHANGE (ASE)-20 futures market is the first organized derivatives …

Persistent link: https://www.econbiz.de/10005413190

PRICE DISCOVERY IN THE ATHENS DERIVATIVES EXCHANGE: EVIDENCE FOR THE FTSE/ASE-20 FUTURES MARKET

Kenourgios, Dimitris - EconWPA - 2005

The FTSE/ASE-20 futures market, as the first organised Greek derivatives market, established in August 1999 and its … of FTSE/ASE-20 three-month futures index and the underlying cash market in Athens Stock Exchange (ASE). Ôhe investigation …

Persistent link: https://www.econbiz.de/10005413199

The economics of stock index futures: Theory and evidence

Holmes, P R - 1993

This thesis aims to provide detailed investigation into the role and functioning of the FTSE-100 stock index futures … discussed.Chapter 2 investigates the risk return relationship for the FTSE-100 contract within a CAPM framework. While CAPM … historical information does not greatly reduce hedging effectiveness. The FTSE-100 contract is shown to be a highly effective …

Persistent link: https://www.econbiz.de/10009465543

Intraday and Interday Basis Dynamics: Evidence from the FTSE 100 Index Futures Market

Garrett, Ian; Taylor, Nicholas - In: Studies in Nonlinear Dynamics & Econometrics 5 (2001) 2

We examine the intraday and interday dynamics of both the level of and changes in the FTSE (Financial Times …

Persistent link: https://www.econbiz.de/10014620847

Intraday and Interday Basis Dynamics: Evidence from the FTSE 100 Index Futures Market

Garrett, Ian; Taylor, Nicholas - In: Studies in Nonlinear Dynamics & Econometrics 5 (2001) 2, pp. 1076-1076

We examine the intraday and interday dynamics of both the level of and changes in the FTSE (Financial Times …

Persistent link: https://www.econbiz.de/10005459051

Calendar effects in the London Stock Exchange FT-SE indices

Mills, Terence; Coutts, J. Andrew - In: The European Journal of Finance 1 (1995) 1, pp. 79-93

This paper investigates the presence of various anomalies, or 'calendar effects', in the FT-SE 100, Mid 250 and 350 …

Persistent link: https://www.econbiz.de/10009276897