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Title: The pricing relationship between the FTSE 100 stock index and FTSE 100 stock index futures contract
Author: Garrett, Ian
ISNI:       0000 0001 3491 4706
Awarding Body: Brunel University
Current Institution: Brunel University
Date of Award: 1992
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This thesis investigates the pricing relationship between the FTSE 100 Stock Index and the FTSE 100 Stock Index futures market. We develop and apply a framework in which it is possible to evaluate whether or not markets can be said to function effectively and efficiently. The framework is applied to both the daily and intra-daily pricing relationship between the aforementioned markets. In order to analyse the pricing relationship within days, we develop a new method to remove the effects of nonsynchronous trading from the FTSE 100 Index. We find that on a daily basis the markets generally function effectively, although this does not carryover to the intra-daily pricing relationship. This is especially true during the October 1987 stock market crash, where it is argued that a possible cause of the breakdown lies with the stock market. If this is the case, then any regulation should be aimed at the stock market, not the stock index futures market.
Supervisor: Antoniou, T. Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID:  DOI: Not available
Keywords: Regulation ; Stock index futures market ; Intra-daily pricing relationship ; Stock market crash ; Nonsynchronous trading