This is the first paper that studies the microstructure of the Irish Stock Market empirically. The motivation for our work is that on 7th of June 2000 The Irish Stock Exchange adopted themodern pan European auction trading system Xetra. Prior to this the exchange utilised an antiquated floor...

This paper examines the impact on stock price predictability that the removal of exchange controls had on major European countries during the late 1970s and 1980s. It is found that for Germany, Switzerland and France, the removal of exchange controls led to an increase in the interdependence...

This study seeks to explain the leverage effect in UK stock returns by reference to the return volatility, leverage and size characteristics of UK companies. A leverage effect is found that is stronger for smaller companies and has greater explanatory power over the returns of smaller companies....

Previously, it has been shown that the profits from a simple market timing trading rule applied to a portfolio of shares can be affected by the inter-relationships between the returns of the component securities. In this short letter, the results from applying a more sophisticated 'filter' rule...

We provide evidence of the nature of the transmission of volatility within the UK stock market. We find a distinct asymmetry in that shocks to the return volatility of a portfolio of relatively large firms influence the future volatility of a portfolio of relatively small firms, but find that...

This study seeks to explain the leverage effect in UK stock returns by reference to the return volatility, leverage and size characteristics of UK companies. A leverage effect is found that is stronger for smaller companies and has greater explanatory power over the returns of smaller companies....

In this paper we re-examine the relationship between non-trading frequency and portfolio return autocorrelation. We show that in portfolios where security specific effects have not been completely diversified, portfolio autocorrelation will not increase monotonically with increasing non-trading,...

This paper demonstrates how the autocorrelation structure of UK portfolio returns is linked to dynamic interrelationships among the component securities of that portfolio. Moreover, portfolio return autocorrelation is shown to be an increasing function of the number of securities in the...

Purpose – On 29 January 2001, Euronext LIFFE introduced single security futures contracts on a range of global companies. The purpose of this paper is to examine the impact that the introduction of these futures contracts had on the behaviour of opening and closing UK equity returns....