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Your search keyword '"McMillan, David"' showing total 8 results
Start Over Author "McMillan, David" Journal journal of futures markets
8 results on '"McMillan, David"'

2. Persistent mispricing in a recently opened emerging index futures market: arbitrageurs invited

Author

McMillan, David G. and Ulku, Numan

Subjects
Stock index futures -- Finance, Pricing -- Research, Arbitrage -- Influence, Product price, Company financing, Business, Business, general
Abstract

Mispricing in the Turkish stock index futures market is caused by difficulties in shorting, behavioral effects, and insufficient arbitrage. Effects such as disposition and conservatism with regard to pricing were negatively related to past returns, but this negative effect will diminish as the market matures.

Published
2009

3. Efficiency of the IBEX spot-futures basis: the impact of the mini-futures

Author

McMillan, David G. and Garcia, Raquel Quiroga

Subjects
Futures -- Research, Stock-exchange -- Research, Efficient market theory -- Research, Business, Business, general
Abstract

The effect on the overall market efficiency of the introduction of the mini-futures contract for the Spanish IBEX is studied. The increased use of the mini-futures contract after its introduction had negative impacts on price discovery.

Published
2008

4. Non linear dynamics and competing behavioral interpretations: evidence from intra-day FTSE-100 Index and futures data

Author

McMillan, David G. and Speight, Alan E.M.

Subjects
Linear systems -- Influence, Stockbrokers -- Behavior, Stock price indexes -- Analysis, Stock markets -- Evaluation, Stock market, Business, Business, general
Abstract

The potential non-linear dynamics in stock trading and its influence on competing behavior of stock traders is evaluated, by using intraday trading data at FTSE (Frankfurt Stock Exchange)-100 Index.

Published
2006

5. Nonlinear dynamics in high-frequency intraday financial data: evidence for the UK long gilt futures market

Author

McMillan, David G. and Speight, Alan E. H.

Subjects
Financial markets -- Research, Futures market -- Research, Investment analysis, Business, Business, general
Abstract

A review of the theoretical literature, concerning the potential for threshold nonlinearities in financial market returns data is expressed. The empirical models need to be estimated and their properties are outlined.

Published
2002

7. Intra-day volatility components in FTSE-100 stock index futures

Author

Speight, Alan, McMillan, David, and Gwilym, Owain

Subjects
Financial Times Stock Exchange 100 Index -- Research, Futures -- Research, Futures market -- Research, Business, Business, general
Abstract

Research is presented describing the information flow systems operated by the FTSE-100 stock index futures market and the impact the flow has on the intra-day volatility of futures movements.

Published
2000

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