| Título: | AN EXAMINATION OF THE NASDAQ 100 FUTURES CONTRACT USING ULTRA HIGH FREQUENCY DATA |
| Autores: |
Abid, Fathi; Faculty of Business and Economics of Sfax, University of Sfax, Tunisia. MO.DE.S.FI Trabelsi, Lotfi; Faculty of Business and Economics of Sfax, University of Sfax, Tunisia. MO.DE.S.FI |
| Fecha: | 2013-06-15 |
| Publicador: | Journal of Business and Finance |
| Fuente: |
 |
| Tipo: |
info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion |
| Tema: | Index futures contracts, market microstructure, price impact, ultra-high frequency data, Autoregressive conditional duration |
| Descripción: | This paper conducts a study on a high frequency data of futures index contracts after the examination of the Nasdaq 100 to investigate the effects of price duration in trading process. To achieve this prospect, we extend the Engle and Russell (1998) model, which divides the intensity effect into liquidity and information components by including additional microstructural variables. Examining tick by tick data of Nasdaq 100 futures index futures; we find that the time duration between transactions exerts a considerable influence on price changes. Additionally, the time can be modelled in combination with variable microstructure. This evidence suggests that managing both time, trading volume and microstructural variables are important aspects of trading in the index futures markets. |
| Idioma: | Inglés |
1 THE REPERCUSSIONS OF THE 2008 FINANCIAL CRISIS ON THE LABOUR MARKET IN TUNISIA por Dammak, Thouraya B.; Faculty of Economics and Management, Department of Economics, Sfax University. Sfax,Helali, Kamel; Faculty of Economics and Management, Department of Applied Quantitative Economics, Sfax University. Sfax | 6 IMPACT OF TRADE UNIONISM ON INDIAN SOCIETY por Gupta, Abhishek; Sardar Swaran Singh National Institute of Renewable Energy (Ministry of New & Renewable Energy, Govt. of India), Kapurthala |
2 HOW TAX HYPOTHESIS DETERMINES DEBT MATURITY IN INDIAN CORPORATE SECTOR por T, VENUGOPALAN; SGTB KHALSA COLLEGE, DELHI UNIVERSITY,VIJ, MADHU; FACULTY OF MANAGEMENT STUDIES
DELHI UNIVERSITY | 7 PARAMOUNT ROLE OF CORPORATE SOCIAL RESPONSIBILITY IN RETAINING EMPLOYEES AND CORPORATE REPUTATION: AN EXTRACT FROM PAKISTAN’S BANKING SECTOR por Mushtaq, Nabeela; Hailey College of Commerce, University of the Punjab, Lahore |
3 RATIONALITY OF SELF-EMPLOYMENT: DO FEMALE AND MALE ENTREPRENEURS DIFFER? por Bögenhold, Dieter; Faculty of Economics, Department of Sociology, Alpen-Adria University Klagenfurt,Fachinger, Uwe; Department of Economics and Demography, Institute of Gerontology, University of Vechta | 8 INVESTIGATING THE ROLES OF CLAIMS MANAGER IN CLAIMS HANDLING PROCESS IN THE NIGERIA INSURANCE INDUSTRY por Tajudeen, Yusuf O.; Department of Actuarial Science and Insurance, Faculty of Business Administration, University of Lagos, Akoka,Adebowale, Abass O.; Department of Accounting and Finance, Faculty of Management Sciences, Lagos State University, Ojo |
4 EFFECT OF EXCHANGE RATE VOLATILITY ON EXPORTS: EVIDENCE FROM EIGHT DEVELOPED COUNTRIES por Butt, Hira Aslam; Hailey College of Commerce, University of the Punjab, Lahore | 9 EXPATRIATE WORK FORCE IN THE GULF COOPERATIVE COUNCIL [GCC] COUNTRIES: A SHORT PERSPECTIVE por Rehman, Anna; Faculty of Business and Management, University of Liberal Arts and Business, Dhanmondi, Dhaka 1205 |
5 IMPACT OF ORGANIZATIONAL CULTURE AND PROMOTIONAL POLICIES ON EMPLOYEE JOB SATISFACTION: THE CASE OF PAKISTAN por Naeem, Nighat; Hailey College of Commerce, University of the Punjab, Lahore | 10 THE NEW TENDENCY IN THE DEVELOPMENT OF THE EUROPEAN UNION COMMON TRADE POLICY DURING THE WORLD ECONOMIC CRISIS por Puślecki, Zdzisław W.; Adam Mickiewicz University, Poznań |