Information content of extended trading for index futures

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

Research output: Journal article publicationJournal articleAcademic researchpeer-review

13 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 languageEnglish
Pages (from-to)861-886
Number of pages26
JournalJournal of Futures Markets
Volume24
Issue number9
DOIs
Publication statusPublished - 1 Sep 2004

ASJC Scopus subject areas

  • Accounting
  • Business, Management and Accounting(all)
  • Finance
  • Economics and Econometrics

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