Santamaria, Daniel (2000) On the functioning and dynamics of stock market indices and the interaction of international markets: an investigation of the London stock exchange. Doctoral thesis, Durham University.
This thesis presents four empirical studies on the functioning and dynamics of stock market indices. The first issue investigates the relationship between market anomalies and the variance of non-trading and trading period index returns. The results reveal the existence of this relationship that the study concludes is indicative of the prominent role of private information as the driving force behind price changes. As a second issue, the thesis addresses the empirical question concerning volatility patterns of index returns at the beginning and end of trading and whether variance differentials are attributable to the way the market processes information. Unlike previous investigations that focus on the behaviour of prices under different market regimes, the study investigates and concludes that the dynamics surrounding the information processing of the market adequately explains this phenomenon. Third, the thesis re-examines the volume-volatility relationship by decomposing trading volume into expected and unexpected components. Despite observing a positive relationship between both variables, the use of volume itself as a means of forecasting changes in index values do not hold for UK data. Finally, the thesis investigates the extent to which asymmetries govern the transmission of volatility across national stock markets. The results confirm the existence of an asymmetric component induced by extreme uncommon shocks such as the October 1987 Crash and by an additional half day's trading in Tokyo. The overall consensus running through the thesis is that changes in index values is indicative of the arrival and utilisation of information as opposed to mispricing caused by the actions of uninformed noise traders.
|Item Type:||Thesis (Doctoral)|
|Award:||Doctor of Philosophy|
|Copyright:||Copyright of this thesis is held by the author|
|Deposited On:||13 Sep 2012 15:49|