Life Cycles: Intraday Evidence from the Ft-Se 100 Stock Index Futures Market

Posted: 5 May 1998

See all articles by Abhay Abhyankar

Abhay Abhyankar

MOVE,Departament d'Economia i d'Història Econòmica, Universitat Autònoma de Barcelona

Laurence Copeland

Cardiff University - Cardiff Business School

W. Wong

University of Stirling

Abstract

This paper uses a data set consisting of a complete history of all transactions and quotes to examine intraday patterns in trading volume, volatility and the quoted bid-ask spread in the market for FTSE-100 index futures. We also document a number of regularities in the pattern of daily returns and volatility of the cash index. Finally, we document intraday patterns in the basis, i.e. the contemporaneous difference between the futures price and the underlying cash index level. In general, we find returns vary somewhat over the day, reflecting in particular the influence of the US market openings in early afternoon London-time. We find that, while both volume and volatility exhibit a U-shaped pattern over the day, movements in the spread tend if anything to follow the opposite pattern. As far as consistency with the best-known microstructure models is concerned, our results are more supportive of the Brock and Kleidon (1992) market closures model than the Admati and Pfleiderer (1988) noise- trading model.

JEL Classification: C22, G12

Suggested Citation

Abhyankar, Abhay and Copeland, Laurence S. and Wong, W., Life Cycles: Intraday Evidence from the Ft-Se 100 Stock Index Futures Market. Available at SSRN: https://ssrn.com/abstract=6323

Abhay Abhyankar (Contact Author)

MOVE,Departament d'Economia i d'Història Econòmica, Universitat Autònoma de Barcelona ( email )

Campus de Bellaterra-UAB Edifici B
Cerdanyola del Vallès
Barcelona, Catalunya 08193
Spain

HOME PAGE: http://https://www.movebarcelona.eu/index.php/people/alphabetical-directory

Laurence S. Copeland

Cardiff University - Cardiff Business School ( email )

Aberconway Building
Colum Drive
Cardiff, CF10 3EU
United Kingdom
+44 29 20875740 (Phone)
+44 29 20874419 (Fax)

W. Wong

University of Stirling ( email )

Stirling, Scotland FK9 4LA
United Kingdom
Not available (Phone)
Not available (Fax)

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