This thesis examines the validity of the cost of carry model for pricing FTSE100 futures contracts and the relationship between FTSE100 spot and futures markets during twosub-periods characterised by different market trading systems employed by the LSEand LIFFE. The empirical work is carried out...

This paper studies price discovery in Nikkei 225 markets through the nonlinear smooth transition price adjustments between spot and future prices and across all three futures markets. We test for smooth transition nonlinearity and employ an exponential smooth transition error correction model...

We study the impact of the suspension of opening and closing call auctions by the National Stock Exchange of India in 1999. We compare volatility, efficiency and liquidity (VEL) of securities before and after suspension, and estimate the value of the auctions using an event study. Following...

Purpose: The main objective of this study is to obtain new empirical evidence on non-synchronous trading effects through modelling the predictability of market indices. Design / Methodology / Approach: We test for lead-lag effects between the Indian Nifty and Nifty Junior indices using...

This paper critically surveys the key literature on corporate financing policy, capital structure and firm ownership in order to identify the leading theoretical and empirical issues in this area. The theoretical component of the survey attempts to reconcile competing theories of capital...

We construct new sentiment indices for UK investors and UK institutional investors based on commonly-cited indicators using the first principle component method. We find that there is one-way Granger-causality from US or German sentiment on the one hand to UK sentiment indices on the other. We...

This paper critically surveys the key literature on corporate financing policy, capital structure and firm ownership in order to identify the leading theoretical and empirical issues in this area. The theoretical component of the survey attempts to reconcile competing theories of capital...

This paper critically surveys the key literature on corporate financing policy, capital structure and firm ownership in order to identify the leading theoretical and empirical issues in this area. The theoretical component of the survey attempts to reconcile competing theories of capital...