During 1999 and 2000, three major futures exchanges transferred trading in stock index futures from open outcry to electronic markets: the London International Financial Futures and Options Exchange (LIFFE); Sydney Futures Exchange (SFE); and Hong Kong Futures Exchange (HKFE). These changes in...

During 1999 and 2000, three major futures exchanges transferred trading in stock index futures from open outcry to electronic markets: the London International Financial Futures and Options Exchange (LIFFE); the Sydney Futures Exchange (SFE); and the Hong Kong Futures Exchange (HKFE). These...

This paper examines 'intranight' patterns in quoted bid-ask spreads, price volatility and trading volume. Using data for the overnight market of the Sydney Futures Exchange, an elevation in both price volatility and trading volume at the open and close of overnight trading sessions is...