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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:2015-05-12
Downloads:0

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