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Intraday patterns in the S&P 500 index futures market

✍ Scribed by Peter D. Ekman

Publisher
John Wiley and Sons
Year
1992
Tongue
English
Weight
994 KB
Volume
12
Category
Article
ISSN
0270-7314

No coin nor oath required. For personal study only.

✦ Synopsis

The detailed descriptions of intraday volatility and other variables may also contribute to the continuing public discussion on stock index futures.

PREVIOUSLY OBSERVED PATTERNS

The U-shaped intraday pattern in stock returns and returns variance are first documented by Wood, Mclnish, and Ord(1985) (WMO) and Harris (1986). Average index returns are positive near the open and near the close. Harris, however, shows that returns are, on average, negative near the Monday open. Because of the targe amount of data needed for intraday studies, the sample periods are relatively short.

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