Information content of extended trading for index futures
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
Year of publication: |
2004
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Authors: | Cheng, Louis T. W. ; Jiang, Li ; Ng, Renne W. Y. |
Published in: |
Journal of Futures Markets. - John Wiley & Sons, Ltd.. - Vol. 24.2004, 9, p. 861-886
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Publisher: |
John Wiley & Sons, Ltd. |
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