everal studies such as and document that S equity returns are more volatile during trading hours than during non-trading hours. In a recent paper, examine the behavior of the daily (close to close) returns of all NYSE and AMEX stocks. They find that trading hour return variance is much higher th
Intraday Returns and the Frequency of Trading at the Ask on the Sydney Futures Exchange: A Research Note
โ Scribed by Michael Aitken; Alex Frino; Elvis Jarnecic
- Book ID
- 108513945
- Publisher
- John Wiley and Sons
- Year
- 1997
- Tongue
- English
- Weight
- 126 KB
- Volume
- 33
- Category
- Article
- ISSN
- 0001-3072
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
## Abstract During 1999 and 2000, three major futures exchanges transferred trading in stock index futures from open outcry to electronic markets: the London International Financial Futures and Options Exchange (LIFFE); the Sydney Futures Exchange (SFE); and the Hong Kong Futures Exchange (HKFE). T
Junkus (1986) tested for the existence of the Monday effect for Value Line spot and futures prices. No statistically significant evidence of the Monday effect was found on a close-to-close basis for either spot or futures prices. The purpose of this note is to show that a well-defined Monday effec