Empirical market microstructure of the FTSEurofirst index futures
MetadataShow full item record
This thesis is among the first market microstructure studies of an index futures market with designated market makers in the academic literature. The purpose of this thesis is to investigate intraday patterns of key variables, the relative size of the components of the quoted bid-ask spread, and the order decisions of uninformed traders, in a continuous dealer market for index futures with market makers. Overall, our findings aim to contribute to a better understanding of the roles of market makers and public customers in price formation. Intraday patterns of financial market variables such as trade price, volume, trade size, quoted spreads, depth, and volatility separately for designated market makers and public customers are examined. The lack of relevant and appropriate data in futures markets, as evidenced by Hasbrouck (2003) and Kurov (2005), has inhibited the growth of market microstructure in futures markets. Individual orders, quotes, trader identification, and transactions from June 2003 to December 2004, for FTSEurofirst 80 and 100 index futures are used in the study. Inclusion of the parties to order execution distinguishes this data set from most other futures microstructure sources. As this thesis is the first known academic study of the extant market microstructure of the FTSEurofirst index futures, the institutional aspects of the trading process for the FTSEurofirst index futures are also explored. An alternative method for estimating three cost components as a proportion of the bid-ask spread is developed. A framework is developed for the order decision process of an uninformed trader for the first time in a futures market with market makers. The results of this thesis may have implications for other financial markets and the field of market microstructure.
Thesis, PhD Doctor of Philosophy
Embargo Date: Electronic version restricted until 31st May 2015
Embargo Reason: Thesis restricted in accordance with University regulations
Items in the St Andrews Research Repository are protected by copyright, with all rights reserved, unless otherwise indicated.
Showing items related by title, author, creator and subject.
Roscoe, Philip John (2013-02-27) - Journal articleThe notion of embeddedness (Granovetter 1985) neglects of the material dimension of economic relations. This paper contributes to the literature of market devices (Callon, et al., 2007) with an exploration of the material ...
Markets and how they work: a comparative analysis of fieldwork evidence on globalisation, corporate governance, institutional structure and competition in Russia, India and China, supported by a quantitative worldwide cross-section study of market anomalies Dyrmose, Morten (University of St Andrews, 2012-11-30) - ThesisThis thesis examines the efficacy of markets, using both quantitative and qualitative methods in a complementary way. Specifically, it starts (in Part II) by using the results from a quantitative analysis of initial public ...
Roscoe, Philip John; Howorth, Carole (2009-02) - Journal articleThe usefulness of technical analysis, or charting, has been questioned because it flies in the face of the 'random walk' and tests present conflicting results. We examine chartists' decision-making techniques and derive a ...