Who trades in the stock index futures market when the underlying cash market is not trading?

Research output: Journal article publicationJournal articleAcademic researchpeer-review

4 Citations (Scopus)

Abstract

This paper studies the trading of Hang Seng Index futures contracts on the Hong Kong Futures Exchange since the Exchange began to open earlier and close later than the underlying cash market by 15 min. We show that the extension of trading hours stimulates the opening trading volume of the futures market. Futures returns surrounding the market opening are found to be relatively less volatile with insignificant change in pricing errors when compared with the pre-extension period. These observations suggest that activities during the extended opening session are related with private information but not with public information or noise.
Original languageEnglish
Pages (from-to)547-561
Number of pages15
JournalPacific Basin Finance Journal
Volume13
Issue number5
DOIs
Publication statusPublished - 1 Nov 2005

Keywords

  • Extended trading hour
  • Hong Kong futures market
  • Noise trading
  • Public and private information

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics

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