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On 29 January 2001, Euronext LIFFE introduced single security futures contracts on a range of global companies. The purpose of this paper is to examine the impact that the introduction of these futures contracts had on the behaviour of opening and closing UK equity returns.

The paper models the price discovery process using the Amihud and Mendelson partial adjustment model which can be estimated using a Kalman filter.

Empirical results show that during the pre‐futures period both opening and closing returns under‐react to new information. After the introduction of futures contracts opening returns over‐react. A rise in the partial adjustment coefficient also takes place for closing returns but this is not large enough to cause over‐reaction.

This is the first study to examine the impact of a single security futures contract on the speed of spot market price discovery.

This study investigates the impact of simultaneously replacing both midday single-price call auction and lunch break with multi-price continuous trading on intraday volatility–volume patterns as well as the intraday volatility–volume nexus.

The analysis utilises 150 m tick-by-tick transaction data related to 333 stocks traded on Borsa Istanbul Equity Market covering a period of 2 months prior to and following the change. In addition to graphic comparisons, the study uses difference in mean tests, panel-fixed generalized least squares (GLS), panel-random GLS and random-effects linear models with AR(1) disturbance regression estimations.

The results show that intraday volatility and trading volume form an inverse J-shape and are positively correlated. It is observed that the implementation of the regulation change decreased intraday volatility and increased trading volume. Additionally, the results indicate a negative volatility–liquidity and a positive volume–liquidity relationship, supporting the mixture of distribution hypothesis.

Enhanced market efficiency provides greater opportunity for investment and risk management. Investors can benefit from the findings on the intraday volatility–volume nexus, which is an indicator of informed trading, and regulatory authorities can use volume to oversight volatility.

This very rare regulation change of the simultaneous replacement of the lunch break and midday call auction with continuous trading is investigated in the context of intraday volume and volatility. This study also expands upon some important findings on the volume–volatility nexus for the Turkish Stock Market.

Empirical researchers should recognize that opening and closing prices are not simple reflections of underlying fundamental values, as studies of stock price behavior have documented a U‐shaped intra‐day volatility pattern that is a manifestation of noise. While implicit transaction costs and the tactical trading of informed participants are contributing factors, they do not provide a sufficient explanation. The purpose of this paper is to focus on an additional factor – price discovery and present a formulation which allows investors with divergent expectations to respond rationally to each other's valuations, and which implies elevated volatility even when information is common knowledge.

This is a conceptual paper with empirical implications for the dynamic process of price formation in an equity market. The work is motivated by the well‐documented finding that intra‐day stock prices are excessively volatile, especially at market openings and closings. The paper's theoretical construct shows that the volality accentuation can be attributed to the dynamic process of price discovery.

The paper's chief finding is that price discovery is a protracted, path‐dependent process in an environment characterized by divergent expectations and adaptive valuations. The protracted, path‐dependent process of price discovery can account for the observed elevation of intra‐day price volatility.

This is an original research paper. The formulation is a novel and innovative treatement of a divergent expectations, adaptive valuations paradigm.

The purpose of this paper is to study the importance of business time, and market opening/closing times and days, for American option pricing.

A Bermudan pricing approach is employed whereby the option can be exercised only during the times and days the market is open. The authors apply the approach to the S&P 100 options market.

It was found that the potential biases that can arise from ignoring the non‐continuous operation of the market are not negligible.

For expositional purposes, the authors assume that the price of the underlying follows a Geometric Brownian motion. This assumption could be relaxed by future research and more complex price dynamics models could be considered.

The findings in this paper could be used in correcting observed option prices, prior to investigating the rationality of early exercise decisions, or in measuring the size of early exercise premia.

This is the first study to examine the effects of business time, and market opening/closing times and days, to American option prices.

The paper examined the long-run relationship between real estate equity (property listed stock) and non-real estate equity (common stock) in the Nigerian capital market and established the integration between the investments. The paper aims to discuss these issues.

The data collected comprised quarterly returns on property listed stock and All Share Index for the period of January 1999-December 2011. The calculated quarterly returns of the investments were subjected to the Philip-Person unit root test after which the integration between the investments was analysed using the Johansson integration test.

The results showed that real estate equity performed better the non-real estate equity but with corresponding higher risk level. Also, real estate equity had a slightly lower performance when compared with non-real estate equity on return/risk ratio basis. The findings showed that property listed stock (real estate equity) was integrated with common stock or non-real estate equity and suggest that the Nigerian listed property stock, by nature, was similar to REITs. This result negates the belief that property listed stock's returns are integrated with direct real estate market and are often influenced by the returns of the underlying direct real estate assets.

The paper implied that while investors could consider investing in real estate equity and earn better return than investing in common equity in the Nigerian capital market, the inclusion of both in a domestic portfolio could be expected to bring little or no diversification benefit.

The paper is one of the few attempts at assessing the long-run relationship between property listed stock as a form of real estate equity and non-real estate equity and especially from African emerging market perspective.

Four different scenarios of the world a decade from now provide insight into how companies can prepare for an uncertain future.

The purpose of this study is a comparative analysis of two electronic grocers, one success and one failure, in order to attempt to identify the critical success factors that contributed to their different performances.

Four aspects of each company's operations are explored and compared in this side‐by‐side case study. The foci of this study are strategic management, logistical infrastructure, information technology deployments, and marketing strategies.

The success of Peapod was the result, in general, of application of good strategy and knowledge about the opportunities provided in e‐commerce. Webvan's failure, in general, was attributable to the design of its logistics system, the misunderstanding of the capabilities of information technology, and ineffective marketing.

This study investigates only two online grocers, and the lessons learned in this comparative case study may not be applicable to other types of online business.

This paper provides insights into successful retail e‐commerce operations through the comparison of successful and unsuccessful firms in a specific business. From the analysis, businesses and individuals who are considering the future of e‐commerce for their enterprise should better understand the factors that contribute to success and failure in a pure‐play environment.

Several studies have investigated how internet businesses function, and how the customers of online businesses differ from traditional business customers. Some studies have offered comparisons of differing levels of performance within a specific e‐business; however, this report investigates the reasons for the success and failure through its comparative analysis of specific managerial activities.

Purpose: This study investigates internal/own shock in the domestic market and three external volatility spillovers from India, the UK, and the USA to the Sri Lanka stock market.

Need for the Study: The external market’s internal/own shocks and volatility spillovers influence portfolio choices in domestic stock market returns. Hence, it is required to investigate the internal shock in the domestic market and the external volatility spillovers from other countries.

Methodology: This study employs a quantitative method using ARMA(1,1)-GARCH(1,1) model. All Share Price Index (ASPI) is the proxy for the Colombo Stock Exchange (CSE) stock return. It uses daily time-series data from 1^st April 2010 to 21^st June 2023.

Findings: The findings revealed that internal/own and external shocks substantially impact the stock price volatility in CSE. Significant volatility clusters and persistence with extended memory in ASPI confirm internal/own shock in the market. Furthermore, CSE receives significant volatility shock from the USA, confirming external shock. This study’s findings highlight the importance of considering internal and external shocks in portfolio decision-making.

Practical Implications: Understanding the influence of internal shocks helps investors manage their portfolios and adapt to market volatility. Recognising significant volatility spillovers from external markets, especially the USA, informs diversification strategies. From a policy standpoint, the study emphasises the need for robust regulations and risk management measures to address shocks in domestic and global markets. This study adds value to the literature by assessing the sources of volatility shocks in the CSE, employing the ARMA-GARCH, a sophisticated econometrics model, to capture stock returns volatility, enhancing understanding of the CSE’s volatility dynamics.