Given the debate on transparency in non-equity markets associated with the Markets in Financial Instruments Directive (MiFID II), a sound understanding of how these markets operate today is needed to identify potential market failures and to assess the impact of proposed regulatory...

The core element of the 2012 Mortgage Market Review (MMR) recommendations – the responsible lending rules – aimed to ensure that borrowers would in future only be able to take out ‘affordable' mortgages. During the development of the new policy and to explore its likely impact, a method...

This paper provides the first investigation of the hedging effectiveness of the FTSE 100 and FTSE Mid 250 stock index futures contracts using hedge ratios generated within an extended mean Gini framework. This framework provides a robust alternative to the standard minimum variance approach, by...

This paper provides the first investigation of the hedging effectiveness of the FTSE 100 and FTSE Mid 250 stock index futures contracts using hedge ratios generated within an extended mean Gini framework. This framework provides a robust alternative to the standard minimum variance approach, by...

This paper employs the theoretical no-arbitrage conditions to investigate whether the inter-market spread comprising of positions in the FTSE 100 contract and FTSE Mid 250 contract is priced according to fair value. The results show that while transaction cost limits are violated on a number of...