exchanges that use different auction systems affect the volatility of futures prices. In particular, this study exploits a … natural experiment in the frequency of market clearing of stock index futures contracts traded on the Taiwan Futures Exchange … volatility of futures prices. The impact of changes in the trading hours on the TAIFEX and on the competing Singapore Exchange …

We document a transaction level invariance relation among concurrent activity variables in the S&P 500 futures market … the world's primary equity-index futures market …