The partial adjustment factors of FTSE 100 stock index and stock index futures: The informational impact of electronic trading systems

This paper examines the partial adjustment factors of FTSE 100 stock index and stock index futures. Using high frequency data since January 15, 1997 until March 17, 2000, it aims to assess the informational impact of the new electronic trading systems recently implemented at London Stock Exchange an...

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Detalhes bibliográficos
Autor principal: Sebastião, Helder M. C. V. (author)
Formato: other
Idioma:eng
Publicado em: 2008
Assuntos:
Partial adjustments
Price discovery
High frequency data
FTSE 100
Stock index futures
Market microstructure
Electronic trading
LIFFE
London Stock Exchange
Texto completo:http://hdl.handle.net/10316/11732
País:Portugal
Oai:oai:estudogeral.sib.uc.pt:10316/11732

Texto Completo

http://hdl.handle.net/10316/11732

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