Use this URL to cite or link to this record in EThOS: http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.638603
Title: The impact of new information upon UK financial futures markets
Author: Radcliffe, A. E.
Awarding Body: University of Wales Swansea
Current Institution: Swansea University
Date of Award: 2004
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Abstract:
There is little published evidence on the reactions of UK financial futures prices and associated trading activity to new information. This thesis addresses this deficiency in the literature by focusing on two forms of information exposure in UK futures markets. These occur in the form of either a repo rate announcement or form information inferred from the historical pattern of transactions. The unexpected component of information contained in each repo rate announcement is found to have a direct impact upon both price and trading activity of both interest rate and equity index futures markets. We also examine price formation and in particular the role played by the duration between trades in the dynamics of the price impact of a trade and autocorrelation of trades. We confirm that the duration between trades, which has only recently been considered in the empirical market microstructure literature, does convey information. Finally we model durations using an autoregressive conditional duration process. A new two-state transition model for the time between transaction is developed in this study, where the two states are determined by the trade sign process.
Supervisor: Not available Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID: uk.bl.ethos.638603  DOI: Not available
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