The informational impact of electronic trading systems on the FTSE 100 stock index and its futures contracts

This article examines the partial adjustment factors of Financial Times Stock Exchange (FTSE) 100 stock index and stock index futures. Using high frequency data from 15 January 1997 to 17 March 2000, it aims to assess the informational impact of the electronic trading systems implemented at the Lond...

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Bibliographic Details
Main Author: Sebastião, Helder M. C. V. (author)
Format: article
Language:eng
Published: 2009
Subjects:
partial adjustments
price discovery
high frequency data
FTSE 100
stock index futures
market microstructure
electronic trading
LIFFE
London stock exchange
Online Access:http://hdl.handle.net/10316/93815
Country:Portugal
Oai:oai:estudogeral.sib.uc.pt:10316/93815

Internet

http://hdl.handle.net/10316/93815

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