Market microstructure of FT-SE 100 Index futures: an intraday empirical analysis

Article Abstract:

The market microstructure of the Financial Times Stock Exchange 100 Index futures market was studied by investigating the intraday patterns of bid-ask spreads and trading activity. Overall findings showed that information asymmetry in the index futures market is inconsequential and traders find it easy to regulate inventory. The findings were also in agreement, in general, with the Grossman and Miller model that proposes liquidity to be a function of the price of transaction demand for immediacy.

Financial Times Stock Exchange 100 Index (Index)

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Cash settlement when the underlying securities are thinly traded: a case study

Article Abstract:

Usage of cash settlement on thinly traded securities results to either windfall gains or losses. Windfall gains or losses result due to failure of cash settlement to fully reflect market conditions. An analysis of the December 1995 municipal bond futures contract shows that a December 19, 1995 Fed announcement was not enough to energize its bond futures contract, resulting to either windfall gains or losses.

Portfolio Management, Research

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Efficiency tests in the Spanish futures markets

Article Abstract:

The Spanish futures markets, which are part of the the firm called MEFF Sociedad Holding de Productos Financieros Derivados, were investigated because of their increasing significance for both foreign and domestic investors. Findings from serial correlations, unit root tests and variance ratio tests indicated that the random walk hypothesis cannot be repudiated. Therefore, the MEFF markets are efficient.

Securities, Spain

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