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LIFFE cycles: intraday evidence from the FTSE-100 Stock Index futures market

Abyankar, A., Copeland, Laurence Sidney and Wong, Woon K. 1999. LIFFE cycles: intraday evidence from the FTSE-100 Stock Index futures market. European Journal of Finance 5 (2) , pp. 123-139. 10.1080/135184799337136

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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.

Item Type: Article
Date Type: Publication
Status: Published
Schools: Business (Including Economics)
Subjects: H Social Sciences > HF Commerce
H Social Sciences > HG Finance
Uncontrolled Keywords: Trading Volume, Bid-ask Spread, Stock Index, Futures, Volatility, Liffe
Publisher: Routledge
ISSN: 1351-847X
Last Modified: 04 Jun 2017 05:10
URI: http://orca.cf.ac.uk/id/eprint/49180

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