We examine the role of market structure in identifying microstructure features of the NYSE.Euronext-LIFFE STIR futures market by comparing the ability of two bid-ask spread component models to explain bid-ask spreads. These two models differ only in their assumptions about whether or not market...

This paper analytically solves the portfolio optimization problem of an investor faced with a risky arbitrage opportunity (e.g. relative mispricing in equity pairs). Unlike the extant literature, which typically models mispricings through the Ornstein--Uhlenbeck (OU) process, we introduce a...

Ours is the first paper to highlight pairs trading as the main price-correcting mechanism by which arbitrage can maintain stock–ADR parity. We show that arbitraging stock–ADR pairs extracts small per-trade profits which accumulate to a substantial aggregate return. The observed strong...

In this paper, we examine the Adaptive Market Hypothesis (AMH) through four well-known calendar anomalies in the Dow Jones Industrial Average from 1900 to 2013. We use subsample analysis as well as rolling window analysis to overcome difficulties with each method type of analysis. We also create...

Purpose: Open innovation (OI) has become increasingly popular as an enterprise strategy in both industry and academia, and has been adopted, at least in part, by many companies. Despite this popularity, there is a dearth of evaluation of OI efficiency and a lack of suitable quantitative...

In 1990, Britain became the first developed country to reorganise its electricity industry to run on competitive lines. The British reforms are widely regarded as the benchmark for other reforms and the model used provides the basis for reforms of electricity and other network industries around...

In 1987, the UK Conservative Party was re-elected promising to transform the electricity industry into a privatised competitive industry and to promote an expansion of nuclear power. Fulfilling both objectives was not possible. The nuclear plants were withdrawn from the sale and plans to build...

Despite a documented decline in the number of dividend payers in the UK it is found that aggregate real dividends paid by industrials actually increased between 1979 and 2000. This was attributed to the firms lost from the sample being generally small distributors of dividends whilst the growth...

The microstructure of stock markets and futures markets has attracted considerable recent attention, but the evidence relating to options markets is sparse, especially for the U.K. This article addresses this void in the literature by presenting evidence on the intraday behavior of bid-ask...