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Duration Dynamics in the After-Hours Electronic Futures Market during the Global Financial Crisis
Citation
Dungey, MH and Jeyasreedharan, N and Li, T, Duration Dynamics in the After-Hours Electronic Futures Market during the Global Financial Crisis, Review of Futures Markets, 22, (1) pp. 71-97. ISSN 1933-7116 (2014) [Refereed Article]
Copyright Statement
Copyright 2014 Review of Futures Markets
Official URL: http://rfmjournal.com/en/Journal-Archives.html
Abstract
This paper examines the dynamics of trade durations during financial crisis.
Using break tests, we establish that an Autoregressive Conditional Duration
model for electronic futures contracts on the S&P500 index displays significant
parameter changes during the period 2006-2008. Some of the identified break
points can be aligned with documented crisis events. Subperiod parameter
estimates show that, at critical points in the crisis, observed duration becomes
less clustered and more dependent on expected duration. During the crisis
period, the impact of trade volume on duration weakens, and the error
distribution moves closer to an exponential, consistent with duration
homogeneity.
Item Details
| Item Type: | Refereed Article |
|---|---|
| Research Division: | Economics |
| Research Group: | Applied Economics |
| Research Field: | International Economics and International Finance |
| Objective Division: | Commercial Services and Tourism |
| Objective Group: | Financial Services |
| Objective Field: | Finance Services |
| Author: | Dungey, MH (Professor Mardi Dungey) |
| Author: | Jeyasreedharan, N (Dr Nagaratnam Jeyasreedharan) |
| Author: | Li, T (Mr Tuo Li) |
| ID Code: | 94149 |
| Year Published: | 2014 |
| Deposited By: | Tasmanian School of Business and Economics |
| Deposited On: | 2014-09-01 |
| Last Modified: | 2018-04-05 |
| Downloads: | 0 |
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