haku: @indexterm Stock index options / yhteensä: 27
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| Tekijä: | Abhyankar, A. Copeland, L. S. Wong, W. |
| Otsikko: | LIFFE cycles: intraday evidence from the FTSE-100 stock index futures market. |
| Lehti: | European Journal of Finance
1999 : JUN, VOL.5:2, p. 123-139 |
| Asiasana: | Futures markets Stock index options Stock options Supply and demand USA |
| Kieli: | eng |
| Tiivistelmä: | The authors use a set consisting of a compete 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. They document a number of regularities in the pattern of daily returns and volatility of the cash index, and intraday patterns in the basis, i.e. the contemporaneous difference between the futures price and the underlying cash index level. |
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