Information content of extended trading for index futures

Autor:	Louis T. W. Cheng, Renne W. Y. Ng, Li Jiang
Rok vydání:	2004
Předmět:	Economics and Econometrics Index (economics) Financial economics computer.software_genre General Business Management and Accounting Price discovery Open outcry Accounting Economics Algorithmic trading High-frequency trading computer Futures contract Finance
Zdroj:	Journal of Futures Markets. 24:861-886
ISSN:	1096-9934 0270-7314
DOI:	10.1002/fut.20110
Popis:	The recent extension of trading hours for Hang Seng Index Futures provides an opportunity to examine whether extended futures trading contains useful information about spot returns. Using the weighted price contribution measure, we find that pre-open futures trades are associated with significant price discovery. We extend the model from T. Hiraki, E. D. Maberly, and N. Takezawa (1995) and adjust for the existence of a pre-open trading session and the overnight trading of cross-listed shares in London. Our results indicate that extended trading for index futures contains useful information in explaining subsequent spot returns during the trading day. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:861–886, 2004
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::eef7a6571f19c63012531f8858e61461 https://doi.org/10.1002/fut.20110 Zobrazit plný text záznamu Plný text ve formátu PDF