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Information content of extended trading for index futures

✍ Scribed by Louis T. W. Cheng; Li Jiang; Renne W. Y. Ng

Book ID
102218943
Publisher
John Wiley and Sons
Year
2004
Tongue
English
Weight
172 KB
Volume
24
Category
Article
ISSN
0270-7314

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✦ Synopsis

Abstract

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. Β© 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:861–886, 2004

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