Settlement, tax and non-synchronous effects in the basis of U.K. stock index futures

Article Abstract:

The introduction of the implications of the UK Stock Exchange settlement system into the modelling process and with the maturity of the market in recent years enhanced explanatory power. Non-synchronicities between the cash and futures markets were also observed. On the other hand, strong evidence for tax effects upon the basis in stock index futures markets was absent in the data. Statistically significant relationships between basis mispricing and volume and volatility were noted. These were the conclusions in a study of the basis in stock index futures markets within a no-arbitrage/cost of carry framework.

Securities and Commodity Exchanges, Security and commodity exchanges, Securities Exchanges, United Kingdom, Economic aspects, Stock-exchange, Stock exchanges, Exchanges, Securities, Stock index futures

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Asymmetric information, dividend reductions, and contagion effects in bank stock returns

Article Abstract:

Research into the interpretation of a reduction of the dividends paid by a bank as an indication of poor loans is presented, with focus on the effect that this can have on the results of other similar banks.

Dividend Policy, Banks Assets & Liabilities, Banking industry, Dividends, Observations, Bank loans

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