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-ofhours 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.
| Original language | English |
|---|---|
| Pages (from-to) | 114-136 |
| Journal | Journal of Futures Markets |
| Volume | 29 |
| Issue number | 2 |
| DOIs | |
| Publication status | Published - 2009 |