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Mid-day volatility spikes in U.S. futures markets

✍ Scribed by Scott Docking, Diane; Kawaller, Ira G.; Koch, Paul D.

Publisher: John Wiley and Sons
Year: 1999
Tongue: English
Weight: 460 KB
Volume: 19
Category: Article
ISSN: 0270-7314
DOI: 10.1002/(sici)1096-9934(199904)19:2<195::aid-fut4>3.0.co;2-c

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✦ Synopsis

Recent work offers mixed results regarding the nature of intraday volatility patterns in futures markets and, specifically, the existence of spikes in futures return volatility during the middle of the U.S. trading day (Crain & Lee, 1995;Kawaller, Koch, & Peterson, 1994). This note analyzes time and sales data on two markets-Eurodollar futures and deutsche mark futures-to investigate the existence of such spikes, and to examine the nature of changes in intraday volatility patterns over time.

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