Electronic trading systems and intraday non-linear dynamics : an examination of the FTSE 100 cash and futures returns

This paper focuses on dynamic interactions of equity prices among theoretically related assets. We explore the existence of intraday non-linearities in the FTSE 100 cash and futures indices. We test whether the introduction of the electronic trading systems in the London Stock Exchange in 1997 and in the London International Financial Futures and Options Exchange (LIFFE) in 1999 has eliminated the non-linear dynamic relationship in the FTSE 100 markets. We show that the introduction of the electronic trading systems in the FTSE 100 markets has increased the efficiency of the markets by enhancing the price discovery process, namely by facilitating the increase of the speed of adjustment of the futures and cash prices to departures of the mispricing error from its non-arbitrage band. Nevertheless, we conclude that the automation of the markets has not completely eliminated the non-linear properties of the FTSE 100 cash and futures return series. JEL Classification: G12, G14, G1

Stock market interactions and the impact of macroeconomic news – evidence from high frequency data of European futures markets

This study analyzes the short-term dynamic spillovers between the futures returns on the DAX, the DJ Eurostoxx 50 and the FTSE 100. It also examines whether economic news is one source of international stock return co-movements. In particular, we test whether stock market interdependencies are attributable to reactions of foreign traders to public economic information. Moreover, we analyze whether cross-market linkages remain the same or whether they do increase during periods in which economic news is released in one of the countries. Our main results can be summarized as follows: (i) there are clear short term international dynamic interactions among the European stock futures markets; (ii) foreign economic news affects domestic returns; (iii) futures returns adjust to news immediately; (iv) announcement timing of macroeconomic news matters; (v) stock market dynamic interactions do not increase at the time of the release of economic news; (vi) foreign investors react to the content of the news itself more than to the response of the domestic market to the national news; and (vii) contemporaneous correlation between futures returns changes at the time of macroeconomic releases. JEL Classification: G14, G1

Stock Market Interactions and the Impact of Macroeconomic News – Evidence from High Frequency Data of European Futures Markets

This study analyzes the short-term dynamic spillovers between the futures returns on the DAX, the DJ Eurostoxx 50 and the FTSE 100. It also examines whether economic news is one source of international stock return co-movements. In particular, we test whether stock market interdependencies are attributable to reactions of foreign traders to public economic information. Moreover, we analyze whether cross-market linkages remain the same or whether they do increase during periods in which economic news is released in one of the countries. Our main results can be summarized as follows: (i) there are clear short term international dynamic interactions among the European stock futures markets; (ii) foreign economic news affects domestic returns; (iii) futures returns adjust to news immediately; (iv) announcement timing of macroeconomic news matters; (v) stock market dynamic interactions do not increase at the time of the release of economic news; (vi) foreign investors react to the content of the news itself more than to the response of the domestic market to the national news; and (vii) contemporaneous correlation between futures returns changes at the time of macroeconomic releases.Market Microstructure,Stock Market Dynamic Interactions, Macroeconomic News, High Frequency Data, VAR Modeling, Variance Decomposition

The Berlin project: a marriage between professional competences and authentic language acquisition

This project aims at increasing the German communicative skills of our Flemish students (professional Bachelor Communication), resulting in a 4 days’ stay in Berlin. The project concentrates on intercultural communication, learning to work in team, providing the students with professional competences and last but not least increasing the students’ knowledge of German with respect to oral fluency and basic vocabulary and grammar. Preparing for the trip to Berlin, the students have tasks ranging from research on the internet on specific topics, reading authentic texts, writing, summarizing and structuring texts, research into the historical and cultural background of the city and oral presentation of this in class. They also explore a subject of their own interest for which they have to conduct at least two interviews with native speaking specialists in Berlin. Per class they set up a facebook group and communicate with the students of partner schools in Berlin. Last but not least they recapitulate basic grammar and vocabulary. The activities in Berlin concentrate on communication with native speakers. Our students are guided in Berlin, both by their German-speaking peers of the partner schools and by professionals. Next to all this we have synergies with other subjects of the educational programme such as contemporary history, public relations, marketing, interpersonal competences… Whilst exploring their self-chosen topic (e.g. street theatre), they “encounter” several media. This need for information will lead to authentic communication, a higher level of the students’ activity and frequently generates a higher motivation. Thus, most of the students overcome their prejudices towards German(s) and Germany, the threshold to speak, and improve their language skills considerably. Students also become aware of the necessity of communication and foreign languages. This project and the trip even result in about 10% of our students doing an internship in Berlin/Germany in the last grade