We found a match
Your institution may have access to this item. Find your institution then sign in to continue.
- Title
After-hours trading in equity futures markets.
- Authors
Dungey, Mardi; Fakhrutdinova, Luba; Goodhart, Charles
- 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. © 2008 Wiley Periodicals, Inc. Jrl Fut Mark 29:114–136, 2009
- Subjects
BUSINESS-to-business electronic markets; COMPUTER networks; ELECTRONIC contracts; STOCK exchanges; NEW York Stock Exchange; INDUSTRIAL organization (Economic theory); FUTURES market; NASDAQ Stock Market
- Publication
Journal of Futures Markets, 2009, Vol 29, Issue 2, p114
- ISSN
0270-7314
- Publication type
Article
- DOI
10.1002/fut.20354