All Outputs (6)

The Impact of Universal Stock Futures on Feedback Trading and Volatility Dynamics (2008)
Journal Article
Chau, F., Holmes, P., & Paudyal, K. (2008). The Impact of Universal Stock Futures on Feedback Trading and Volatility Dynamics. Journal of Business Finance and Accounting, 35(1-2), 227-249. https://doi.org/10.1111/j.1468-5957.2007.02067.x

This paper investigates the impact of the introduction of Universal Stock Futures (USFs) on underlying market dynamics (volatility and the level of feedback trading). Analysis of USFs provides a number of advantages compared to investigation of index... Read More about The Impact of Universal Stock Futures on Feedback Trading and Volatility Dynamics.

Contrarian and momentum profitability revisited: Evidence from the London Stock Exchange 1964–2005 (2007)
Journal Article
Galariotis, E., Holmes, P., & Ma, X. (2007). Contrarian and momentum profitability revisited: Evidence from the London Stock Exchange 1964–2005. Journal of Multinational Financial Management, 17(5), 432-447. https://doi.org/10.1016/j.mulfin.2007.01.003

We provide evidence relating to contrarian and momentum profits for the LSE, using 64 strategies for all 6531 stocks traded from 1964 to 2005. Thorough analysis demands controlling for key potential (contradictory) explanations of the strategies’ pro... Read More about Contrarian and momentum profitability revisited: Evidence from the London Stock Exchange 1964–2005.

The Euro and the changing face of European banking: Evidence from mergers and acquisitions (2007)
Journal Article
Ekkayokkaya, M., Paudyal, K., & Holmes, P. (2007). The Euro and the changing face of European banking: Evidence from mergers and acquisitions. European Financial Management, 15(2), 451-476. https://doi.org/10.1111/j.1468-036x.2007.00411.x

During the last fifteen years, the European banking industry has experienced considerable consolidation through mergers and acquisitions against the background of the introduction of the single currency and reductions in cross-border barriers. This p... Read More about The Euro and the changing face of European banking: Evidence from mergers and acquisitions.

Trading volume and contract rollover in futures contracts (2005)
Journal Article
Holmes, P., & Rougier, J. (2005). Trading volume and contract rollover in futures contracts. Journal of Empirical Finance, 12(2), 317-338. https://doi.org/10.1016/j.jempfin.2004.01.003

Futures trading volume data display strong quarterly seasonality due to the ‘rolling over’ of positions close to the expiry date of the near contract. This undermines the use of volume as a proxy for information arrival. By making explicit the relati... Read More about Trading volume and contract rollover in futures contracts.

Noise and information in UK futures markets (2004)
Journal Article
Holmes, P., & Tomsett, M. (2004). Noise and information in UK futures markets. Journal of Futures Markets, 24(8), 711-731. https://doi.org/10.1002/fut.20104

This paper examines the extent to which futures price changes are driven by noise and information for three U.K. futures contracts by utilizing T. Andersen's (1996) specification of the mixture of distributions hypothesis. Use of the generalized meth... Read More about Noise and information in UK futures markets.

Inter-market spread trading: evidence from UK index futures markets (2002)
Journal Article
Butterworth, D., & Holmes, P. (2002). Inter-market spread trading: evidence from UK index futures markets. Applied financial economics, 12(11), 783-790. https://doi.org/10.1080/09603100110044236

This paper employs the theoretical no-arbitrage conditions to investigate whether the inter-market spread comprising of positions in the FTSE 100 contract and FTSE Mid 250 contract is priced according to fair value. The results show that while transa... Read More about Inter-market spread trading: evidence from UK index futures markets.