Search Results - subject:"FTSE 100 index basis"

Intraday and Interday Basis Dynamics: Evidence from the FTSE 100 Index Futures Market

Garrett, Ian; Taylor, Nicholas - In: Studies in Nonlinear Dynamics & Econometrics 5 (2007) 2, pp. 1076-1076

We examine the intraday and interday dynamics of both the level of and changes in the FTSE (Financial Times-Stock Exchange) 100 index futures mispricing. Like numerous previous studies we find significant evidence of mean reversion and hence predictability in mispricing changes measured over...

Persistent link: https://www.econbiz.de/10004966123

Intraday and Interday Basis Dynamics: Evidence from the FTSE 100 Index Futures Market

Garrett, Ian; Taylor, Nicholas - In: Studies in Nonlinear Dynamics & Econometrics 5 (2001) 2

Persistent link: https://www.econbiz.de/10014620847

Intraday and Interday Basis Dynamics: Evidence from the FTSE 100 Index Futures Market

Garrett, Ian; Taylor, Nicholas - In: Studies in Nonlinear Dynamics & Econometrics 5 (2001) 2, pp. 1076-1076

Persistent link: https://www.econbiz.de/10005459051