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dc.contributor.advisorBhattacharjee, Arnab
dc.contributor.authorFaciane, Kirby
dc.coverage.spatial219en_US
dc.date.accessioned2011-08-15T08:25:47Z
dc.date.available2011-08-15T08:25:47Z
dc.date.issued2010-05
dc.identifier.urihttp://hdl.handle.net/10023/1975
dc.description.abstractThis 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.en_US
dc.language.isoenen_US
dc.publisherUniversity of St Andrews
dc.subjectMarket microstructureen_US
dc.subjectIndex futuresen_US
dc.subjectMarket makingen_US
dc.subjectDesignated market makersen_US
dc.subjectEuronext.liffeen_US
dc.subjectFTSEurofirst Indexen_US
dc.subjectIntraday analysisen_US
dc.subjectBid-ask spread componentsen_US
dc.subjectLimit ordersen_US
dc.subjectMarket ordersen_US
dc.subject.lccHG6024.A3F2
dc.subject.lcshFutures marketen_US
dc.subject.lcshStock index futures--Mathematical modelsen_US
dc.subject.lcshPrices--Mathematical modelsen_US
dc.titleEmpirical market microstructure of the FTSEurofirst index futuresen_US
dc.typeThesisen_US
dc.type.qualificationlevelDoctoralen_US
dc.type.qualificationnamePhD Doctor of Philosophyen_US
dc.publisher.institutionThe University of St Andrewsen_US
dc.rights.embargodateElectronic version restricted until 31st May 2015en_US
dc.rights.embargoreasonThesis restricted in accordance with University regulationsen_US


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