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Title: Market efficiency and UK traded financial futures : evidence from LIFFE
Author: Woodhams, M. S.
Awarding Body: University of Wales Swansea
Current Institution: Swansea University
Date of Award: 1999
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The following study concentrates on applying a well developed financial hypothesis, the Efficient Market Hypothesis, to a series of recently developed and highly popular financial instruments. The objective is to provide a comprehensive testing methodology of UK traded financial derivatives to cover a range of frequencies seldom if ever covered in the literature. It is the extent of coverage of previously untested instruments that makes this study unique. The objective of the study is to examine financial futures series for up to ten years of data over a spectrum of frequencies from as high as one minute intraday intervals to as low as quarterly data. No or little prior knowledge of the Efficient Market Hypothesis is assumed, therefore time is spent introducing it. The implemented testing methodology spans a range of techniques, the initial and most basic being an extension of the model used to price financial futures in the market, through to more complex mathematical techniques such as; nonstationary trend detection between futures and spot markets; cointegration, non-linear martingale difference error modelling, and discretised markovian analysis. These methodologies are applied in such a way that not only are we able to identify market inefficiencies when they occur, but also we are able to implement techniques in an attempt to provide some evidence for their occurrence. In our conclusions we consider such effects as closeness to contract maturity, periods of high traded volume, risk, and information arrival etc. as possible reasons for the presence of inefficiency. These results are brought together in the concluding chapter and areas for further research are discussed.
Supervisor: Not available Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID:  DOI: Not available