We examine stock market returns at short intervals following after-hours earnings announcements to determine whether the opening price set by NYSE market makers is efficient. Our tests of return volatility, correlation of the close-to-open return with subsequent returns, and trading strategies...

We explore the impact of earnings announcements on equity markets, using intraday price data for the DJIA stocks. We find on a daily basis, an abnormally high volatility only within one day following the overnight announcement. On an intraday basis, a striking volatility spike stands out during...

We document the trading activities over the period from June 1993 through March 1997 of the 223 largest traders of heating oil futures - traders who together account for 58% of the open interest in this market. Dividing these traders into eleven different groupings: refiners,...

We explore the determinants of intraday volatility in interest‐rate and foreign‐exchange markets, focusing on the importance and interaction of three types of information in predicting intraday volatility: (a) knowledge of recent past volatilities (i.e., ARCH or Autoregressive Conditional...

We explore how wheat spot and futures market volatility has been impacted by government farm programs during the 1950- 1993 period. We find that changing volatility in both markets is highly associated with changing farm programs. The mandatory allotment programs of the 1950's and early 1960's...

Dividing the 223 largest traders of heating oil futures between June 1993 and March 1997 into 11 different line-of-business groupings, we document their trading activity. We find substantial and significant differences between the 11 trader types in their propensity to take long, short, or...