Article
The Informativeness of Trades and Quotes in the FTSE 100 Index Futures Market
The Journal of Futures Markets
(2015)
Abstract
This study examines the informativeness of trades and quotes in the FTSE 100 index futures market. Using a tick time model, we decompose the innovation in the efficient price into a trade‐induced and a quote‐induced part. For the extensive time period from 2001 to 2011, we find that trades are highly informative, explaining about 80% of the innovation in the efficient price. Large trades are more informative than smaller trades. We observe a noticeable upward trend in the contribution of trades, but also notice large drops in price informativeness around the recent global financial crisis and the European debt crisis. These drops could be attributed to noise trading during volatile periods.
Disciplines
Publication Date
2015
DOI
10.1002/fut.21652
Citation Information
Yiuman Tse. "The Informativeness of Trades and Quotes in the FTSE 100 Index Futures Market" The Journal of Futures Markets Vol. 35 Iss. 2 (2015) p. 105 - 126 Available at: http://works.bepress.com/yiuman-tse/117/