This paper presents and implements a number of tests for non-linear dependence and a test for chaos using transactions prices on three LIFFE futures contracts: the Short Sterling interest rate contract, the Long Gilt government bond contract, and the FTSE 100 stock index futures contract. While...

The authors argue clearly and convincingly in this book that the debt crisis which has plagued the world economy for the past ten years is due to the inherent fragility of financial markets. Governments, financial institutions and borrowers, including developing countries, have simply expected...

Trading volume and order flow have both been closely associated with informed trader activity in the market microstructure literature. Using theory that explains regular intraday patterns in trading data, we transform these two variables into proxies for private information and examine their...

Despite a documented decline in the number of dividend payers in the UK it is found that aggregate real dividends paid by industrials actually increased between 1979 and 2000. This was attributed to the firms lost from the sample being generally small distributors of dividends whilst the growth...

The microstructure of stock markets and futures markets has attracted considerable recent attention, but the evidence relating to options markets is sparse, especially for the U.K. This article addresses this void in the literature by presenting evidence on the intraday behavior of bid-ask...

Relatively there is little empirical research that has been taken to understand how the underlying economy affects customers’ subsequent financial product purchase behaviours. A better understanding of this influence and being able to predict the probability of purchasing are important for...

Purpose – The purpose of this research is to undertake an examination of the impacts of socio-demographic and economic variables on the probability of purchasing financial products. There is relatively little empirical research that has been taken to understand how the underlying economy...

This article examines how microstructure effects, evident in high frequency data, influence bid–ask spreads and volatility in transaction price series. It uses the event of European Monetary Union (EMU), and the upheaval that this entailed, as an opportunity to empirically investigate these...

This paper investigates the dividend decisions of firms in the UK reporting losses after sustained periods of profitability. It is found that loss-making firms are more likely to reduce dividends compared to firms that remain profitable, although a loss is far from a guarantee that the dividend...

In 1990, Britain became the first developed country to reorganise its electricity industry to run on competitive lines. The British reforms are widely regarded as the benchmark for other reforms and the model used provides the basis for reforms of electricity and other network industries around...