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After-hours trading in electronic futures markets

Citation

Dungey, M and Fakhrutdinova, L and Goodhart, C, After-hours trading in electronic futures markets, Journal of Futures Markets, 29, (2) pp. 114-136. ISSN 0270-7314 (2009) [Refereed Article]


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Copyright Statement

The definitive published version is available online at: http://interscience.wiley.com

Official URL: http://interscience.wiley.com

DOI: doi:10.1002/fut.20354

Abstract

Although it is well known that electronic futures data absorb news (slightly) in advance of spot markets the role of the electronic futures movement in out-of-hours trading has not previously been explored. The behavior of the 24-hour trade in the S&P 500 and NASDAQ 100 futures market reveals the important role of these markets in absorbing news releases occurring outside of normal trading hours. Peaks in volume and volatility in this market occur in conjunction with U.S. 8:30 A.M. EST news releases, before the opening of the open-outcry markets, and in a less pronounced fashion immediately post-close the open-outcry market. Price impact in these markets is statistically higher in the post-close than in the pre-open periods.

Item Details

Item Type:Refereed Article
Research Division:Commerce, Management, Tourism and Services
Research Group:Banking, Finance and Investment
Research Field:Finance
Objective Division:Commercial Services and Tourism
Objective Group:Financial Services
Objective Field:Finance Services
Author:Dungey, M (Professor Mardi Dungey)
ID Code:57062
Year Published:2009
Web of Science® Times Cited:5
Deposited By:Economics and Finance
Deposited On:2009-06-16
Last Modified:2014-11-04
Downloads:0

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