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After-hours trading in electronic futures markets
journal contribution
posted on 2023-05-16, 23:42 authored by Dungey, M, Fakhrutdinova, L, Goodhart, CAlthough 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.
History
Publication title
Journal of Futures MarketsVolume
29Pagination
114-136ISSN
0270-7314Department/School
TSBEPublisher
John Wiley & Sons IncPlace of publication
United States of AmericaRights statement
The definitive published version is available online at: http://interscience.wiley.comRepository Status
- Restricted