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An analysis of intraday market behaviour before takeover announcements

✍ Scribed by Bruno Dore Rodrigues; Reinaldo Castro Souza; Maxwell J. Stevenson

Book ID
116577463
Publisher
Elsevier Science
Year
2012
Tongue
English
Weight
639 KB
Volume
21
Category
Article
ISSN
1057-5219

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Market microstructure of FT-SE 100 index
Market microstructure of FT-SE 100 index futures: An intraday empirical analysis
✍ Tse, Yiuman πŸ“‚ Article πŸ“… 1999 πŸ› John Wiley and Sons 🌐 English βš– 382 KB πŸ‘ 2 views

This article examines the market microstructure of the FT-SE Index futures market by analyzing the intraday patterns of bid-ask spreads and trading activity. The patterns are remarkably different from those of stock and options markets because of the futures market's open outcry system with frenzied