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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.

The purpose of this study is to empirically examine the efficiency of Greek fixed-odds (offline) betting market as offered by OPAP for the period 2016–2019.

Using a four-year data sample of OPAP's opening and closing odds for football matches from all over the world and applying linear probability and probit models, the market efficiency is examined and the existence of possible anomalies is investigated.

The main findings of research suggest that although the odds are dominated primarily by favorite-longshot bias and secondarily by draw bias, this mispricing cannot prove profitable. However, the opening odds, the margin levels and the market structure provide information that is not fully captured by the closing odds, giving bettors profit opportunities. Thus, findings show that the semi-strong market efficiency is questionable. Finally, competition reduces commissions leading to more efficient odds.

The conclusions of this study are useful for football betting market and, particularly, for government authorities, bookmakers and bettors. Findings can be extended in future research to prediction tasks.

To the best of the authors’ knowledge, this is the first study about the Greek football betting market. The contribution to the literature lies on the one hand in the examination of a monopolistic land-based betting market, which is being squeezed and threatened by the more competitive online betting market, and on the other hand in the simultaneous examination of the opening and closing odds.

In 2001, Euronext‐Liffe introduced single security futures contracts for the first time. The purpose of this paper is to examine the impact that these single security futures had on the volatility of the underlying stocks.

The Inclan and Tiao algorithm was used to show that the volatility of underlying securities did not change after universal futures were introduced.

It was found that in the aftermath of the introduction of universal futures the volatility of the underlying securities increases. Increased volatility is not apparent in the control sample. This suggests that single security futures did have some impact on the volatility of the underlying securities.

Despite the huge literature that has examined the effects of a futures listing on the volatility of underlying stock returns, little consensus has emerged. This paper adds to the dialogue by focusing on the effects of a single security futures contract rather than concentrating on the effects of index futures contracts.