TY  - UNPD
A1  - Canto, Bea
A1  - Kräussl, Roman
T1  - Electronic trading systems and intraday non-linear dynamics : an examination of the FTSE 100 cash and futures returns
T2  - Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2007,20
N2  - This paper focuses on dynamic interactions of equity prices among theoretically related assets. We explore the existence of intraday non-linearities in the FTSE 100 cash and futures indices. We test whether the introduction of the electronic trading systems in the London Stock Exchange in 1997 and in the London International Financial Futures and Options Exchange (LIFFE) in 1999 has eliminated the non-linear dynamic relationship in the FTSE 100 markets. We show that the introduction of the electronic trading systems in the FTSE 100 markets has increased the efficiency of the markets by enhancing the price discovery process, namely by facilitating the increase of the speed of adjustment of the futures and cash prices to departures of the mispricing error from its non-arbitrage band. Nevertheless, we conclude that the automation of the markets has not completely eliminated the non-linear properties of the FTSE 100 cash and futures return series. JEL Classification: G12, G14, G15
T3  - CFS working paper series - 2007, 20 
KW  - intraday non-linearities
KW  - dynamic spillovers
KW  - electronic trading systems
KW  - price discovery process
KW  - cost of carry model
KW  - regime switching model
KW  - International Stock Exchange of the United Kingdom and the Republic of Ireland
KW  - International Financial Futures and Options Exchange
KW  - International Financial Futures Exchange
KW  - Wertpapierhandelssystem
KW  - Tagesgeschäft
Y1  - 2007
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/1097
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30-44017
IS  - March 15, 2007
ER  -