Information content of extended trading for index futures

Tsz Wan Cheng; Li Jiang; Renne W.Y. Ng

doi:10.1002/fut.20110

Information content of extended trading for index futures

Tsz Wan Cheng, Li Jiang, Renne W.Y. Ng

Research output: Journal article publication › Journal article › Academic research › peer-review

19 Citations (Scopus)

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.

Original language	English
Pages (from-to)	861-886
Number of pages	26
Journal	Journal of Futures Markets
Volume	24
Issue number	9
DOIs	https://doi.org/10.1002/fut.20110
Publication status	Published - 1 Sept 2004

ASJC Scopus subject areas

Accounting
General Business,Management and Accounting
Finance
Economics and Econometrics

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10.1002/fut.20110

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Information content of extended trading for index futures

Abstract

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