LIFFE cycles: intraday evidence from the FTSE-100 Stock Index futures market
A. Abhyankar,
Laurence Copeland () and
Woon Wong ()
The European Journal of Finance, 1999, vol. 5, issue 2, 123-139
Abstract:
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.
Keywords: Trading Volume; Bid-ask Spread; Stock Index; Futures; Volatility; Liffe (search for similar items in EconPapers)
Date: 1999
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)
Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1080/135184799337136 (text/html)
Access to full text is restricted to subscribers.
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:taf:eurjfi:v:5:y:1999:i:2:p:123-139
Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/REJF20
DOI: 10.1080/135184799337136
Access Statistics for this article
The European Journal of Finance is currently edited by Chris Adcock
More articles in The European Journal of Finance from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().