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| Tekijä: | Sebastiao, H.M.C.V. |
| Otsikko: | The informational impact of electronic trading systems on the FTSE 100 stock index and its futures contracts |
| Lehti: | European Journal of Finance
2010 : OCT/DEC, VOL. 16:7-8, p. 611-640 |
| Asiasana: | stock markets stock exchanges trading United Kingdom |
| Kieli: | eng |
| Tiivistelmä: | This study examines the partial adjustment factors of Financial Times Stock Exchange (FTSE) 100 stock index (herein as: st-inx.) and st-inx. futures. Based on high frequency data from 15 Jan. 1997 to 17 Mar. 2000, it is aimed at assessing the informational impact of the electronic trading systems (as: tr-syst/s.) implemented at the London Stock Exchange and London International Financial Futures Exchange (LIFFE). Information is suggested to run mainly from the futures market (as: f-market) to the spot market (as: s-market). It is found that the introduction of stock exchange tr-syst/s., in Oct. 1997, has increased the FTSE 100 index's absolute efficiency. However, it reduced the informational feedback to the f-market. |
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