Dungey, Mardi; Fakhrutdinova, Luba; Goodhart, Charles - In: Journal of Futures Markets 29 (2009) 2, pp. 114-136
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‐of‐hours trading has not previously been explored. The behavior of the 24‐hour trade in the S&P 500 and NASDAQ 100 futures market...