This paper investigates the pricing efficiency of the FTSE 100 and FTSE mid 250 index futures contracts traded in the UK. The results show that while there are many deviations from fair value, these are generally quite small in magnitude with both contracts tending to be efficiently priced....

This paper examines the hedging effectiveness of the FTSE-100 stock index futures contract over the period 1984-92. Previous studies have examined this issue using ex post hedge ratios, resulting in an overestimation of hedging performance. This study utilizes ex ante hedge ratios which are...

The impact of futures trading on spot volatility is examined for a thinly traded contract, the FTSE Eurotrack. Futures trading increases the rate at which information is impounded into prices and reduces persistence. These benefits cease after the suspension of trading. The results suggest that...