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An investigation into aspects of market behaviour in UK financial futures markets. / Pornsawan Evans

Swansea University Author: Pornsawan Evans

Abstract

This thesis investigates a number of features of UK financial futures markets: (i) market microstructure through the context of the volume-maturity relationship of FTSEIOO futures (stock index futures), Long Gilt (bond futures) and Short Sterling (interest rate futures), (ii) domestic market linkage...

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Published: 2003
Institution: Swansea University
Degree level: Doctoral
Degree name: Ph.D
URI: https://cronfa.swan.ac.uk/Record/cronfa42422
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last_indexed 2018-08-03T10:10:06Z
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spelling 2018-08-02T16:24:29.1973906 v2 42422 2018-08-02 An investigation into aspects of market behaviour in UK financial futures markets. 5432cbdba3447c5020908bd575e2076b NULL Pornsawan Evans Pornsawan Evans true true 2018-08-02 This thesis investigates a number of features of UK financial futures markets: (i) market microstructure through the context of the volume-maturity relationship of FTSEIOO futures (stock index futures), Long Gilt (bond futures) and Short Sterling (interest rate futures), (ii) domestic market linkages through the impact of macroeconomic announcements on the lead/lag relationship between the stock index futures and its equity index, (iii) international market linkages through the transmission of arbitrage information, measured by the mispricing errors, of stock index futures across the UK, US and Australian market, and (iv) the market efficiency of the three UK financial futures contracts, including the impact of the introduction of an electronic trading on the efficiency. We found an inverse relationship between the maturity and traded volume of these futures contracts. However, observation of the relationship for various maturity horizons (the near, middle and far contract) reveals that the inverse relationship is contributed mainly by the middle contract trading. The study of the lead/lag relationship reveals a futures lead over the cash market of 50 minutes for the FTSEIOO. UK macroeconomic announcements are found to strengthen the futures lead by up to 5 minutes. The impact from bad news created by the announcements appears to strengthen the futures lead whereas good news causes a price lead from the cash market to the futures market instead. The study of the international market linkages reveals the existence of bi-directional transmission of mispricing errors of stock index futures across the countries under investigation. We found a spillover from the US market to the Australian market, but not to the UK market, and from the Australian market to the US market. Finally, the study of market efficiency indicates that all three UK futures markets under investigation are weak-form efficient. E-Thesis Finance. 31 12 2003 2003-12-31 COLLEGE NANME Economics COLLEGE CODE Swansea University Doctoral Ph.D 2018-08-02T16:24:29.1973906 2018-08-02T16:24:29.1973906 Faculty of Humanities and Social Sciences School of Management - Economics Pornsawan Evans NULL 1 0042422-02082018162453.pdf 10798130.pdf 2018-08-02T16:24:53.1600000 Output 5402003 application/pdf E-Thesis true 2018-08-02T16:24:53.1600000 false
title An investigation into aspects of market behaviour in UK financial futures markets.
spellingShingle An investigation into aspects of market behaviour in UK financial futures markets.
Pornsawan Evans
title_short An investigation into aspects of market behaviour in UK financial futures markets.
title_full An investigation into aspects of market behaviour in UK financial futures markets.
title_fullStr An investigation into aspects of market behaviour in UK financial futures markets.
title_full_unstemmed An investigation into aspects of market behaviour in UK financial futures markets.
title_sort An investigation into aspects of market behaviour in UK financial futures markets.
author_id_str_mv 5432cbdba3447c5020908bd575e2076b
author_id_fullname_str_mv 5432cbdba3447c5020908bd575e2076b_***_Pornsawan Evans
author Pornsawan Evans
author2 Pornsawan Evans
format E-Thesis
publishDate 2003
institution Swansea University
college_str Faculty of Humanities and Social Sciences
hierarchytype
hierarchy_top_id facultyofhumanitiesandsocialsciences
hierarchy_top_title Faculty of Humanities and Social Sciences
hierarchy_parent_id facultyofhumanitiesandsocialsciences
hierarchy_parent_title Faculty of Humanities and Social Sciences
department_str School of Management - Economics{{{_:::_}}}Faculty of Humanities and Social Sciences{{{_:::_}}}School of Management - Economics
document_store_str 1
active_str 0
description This thesis investigates a number of features of UK financial futures markets: (i) market microstructure through the context of the volume-maturity relationship of FTSEIOO futures (stock index futures), Long Gilt (bond futures) and Short Sterling (interest rate futures), (ii) domestic market linkages through the impact of macroeconomic announcements on the lead/lag relationship between the stock index futures and its equity index, (iii) international market linkages through the transmission of arbitrage information, measured by the mispricing errors, of stock index futures across the UK, US and Australian market, and (iv) the market efficiency of the three UK financial futures contracts, including the impact of the introduction of an electronic trading on the efficiency. We found an inverse relationship between the maturity and traded volume of these futures contracts. However, observation of the relationship for various maturity horizons (the near, middle and far contract) reveals that the inverse relationship is contributed mainly by the middle contract trading. The study of the lead/lag relationship reveals a futures lead over the cash market of 50 minutes for the FTSEIOO. UK macroeconomic announcements are found to strengthen the futures lead by up to 5 minutes. The impact from bad news created by the announcements appears to strengthen the futures lead whereas good news causes a price lead from the cash market to the futures market instead. The study of the international market linkages reveals the existence of bi-directional transmission of mispricing errors of stock index futures across the countries under investigation. We found a spillover from the US market to the Australian market, but not to the UK market, and from the Australian market to the US market. Finally, the study of market efficiency indicates that all three UK futures markets under investigation are weak-form efficient.
published_date 2003-12-31T03:52:56Z
_version_ 1763752622318157824
score 11.035874

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