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The impact of new information upon UK financial futures markets. / Anna Elizabeth Radcliffe

Swansea University Author: Anna Elizabeth Radcliffe

Abstract

There is little published evidence on the reactions of UK financial futures prices and associated trading activity to new information. This thesis addresses this deficiency in the literature by focusing on two forms of information exposure in UK futures markets. These occur in the form of either a r...

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Published: 2003
Institution: Swansea University
Degree level: Doctoral
Degree name: Ph.D
URI: https://cronfa.swan.ac.uk/Record/cronfa42705
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spelling 2018-08-02T16:24:30.1802054 v2 42705 2018-08-02 The impact of new information upon UK financial futures markets. fd5e46963e4c229ec33088ebe29b50b8 NULL Anna Elizabeth Radcliffe Anna Elizabeth Radcliffe true true 2018-08-02 There is little published evidence on the reactions of UK financial futures prices and associated trading activity to new information. This thesis addresses this deficiency in the literature by focusing on two forms of information exposure in UK futures markets. These occur in the form of either a repo rate announcement or from information inferred from observing the historical pattern of transactions. This study examines the impact of the unexpected component of repo rate announcements on futures markets. We find that the size of the price reaction and the amount of associated trading activity following an announcement was generally explained by the degree of surprise. This study also examines the information content of trade arrival times, or trade durations in market microstructure. In particular we generalise Hasbrouck's VAR model, to determine the role played by trade durations in the price formation process and the autocorrelations of trades. We find that a buy transaction arriving after a long time interval has a lower price impact than a buy transaction arriving right after a previous trade. In addition, we model these trade durations using an autoregressive conditional duration (ACD) model. Although we find both the exponential and the Weibull distributions only partially account for the intertemporal correlations present in our duration data, we reject the exponential in favour of the Weibull. We also introduce a new asymmetric log-ACD model, where the next expected duration depends on the trade sign process. E-Thesis Economics.;Finance. 31 12 2003 2003-12-31 COLLEGE NANME Economics COLLEGE CODE Swansea University Doctoral Ph.D 2018-08-02T16:24:30.1802054 2018-08-02T16:24:30.1802054 Faculty of Humanities and Social Sciences School of Management - Economics Anna Elizabeth Radcliffe NULL 1 0042705-02082018162515.pdf 10807474.pdf 2018-08-02T16:25:15.4670000 Output 5688264 application/pdf E-Thesis true 2018-08-02T16:25:15.4670000 false
title The impact of new information upon UK financial futures markets.
spellingShingle The impact of new information upon UK financial futures markets.
Anna Elizabeth Radcliffe
title_short The impact of new information upon UK financial futures markets.
title_full The impact of new information upon UK financial futures markets.
title_fullStr The impact of new information upon UK financial futures markets.
title_full_unstemmed The impact of new information upon UK financial futures markets.
title_sort The impact of new information upon UK financial futures markets.
author_id_str_mv fd5e46963e4c229ec33088ebe29b50b8
author_id_fullname_str_mv fd5e46963e4c229ec33088ebe29b50b8_***_Anna Elizabeth Radcliffe
author Anna Elizabeth Radcliffe
author2 Anna Elizabeth Radcliffe
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 There is little published evidence on the reactions of UK financial futures prices and associated trading activity to new information. This thesis addresses this deficiency in the literature by focusing on two forms of information exposure in UK futures markets. These occur in the form of either a repo rate announcement or from information inferred from observing the historical pattern of transactions. This study examines the impact of the unexpected component of repo rate announcements on futures markets. We find that the size of the price reaction and the amount of associated trading activity following an announcement was generally explained by the degree of surprise. This study also examines the information content of trade arrival times, or trade durations in market microstructure. In particular we generalise Hasbrouck's VAR model, to determine the role played by trade durations in the price formation process and the autocorrelations of trades. We find that a buy transaction arriving after a long time interval has a lower price impact than a buy transaction arriving right after a previous trade. In addition, we model these trade durations using an autoregressive conditional duration (ACD) model. Although we find both the exponential and the Weibull distributions only partially account for the intertemporal correlations present in our duration data, we reject the exponential in favour of the Weibull. We also introduce a new asymmetric log-ACD model, where the next expected duration depends on the trade sign process.
published_date 2003-12-31T03:53:29Z
_version_ 1763752657181212672
score 11.035874

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