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Is after‐hours trading informative?
Author(s) -
Ulibarri Carlos A.
Publication year - 1998
Publication title -
journal of futures markets
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.88
H-Index - 55
eISSN - 1096-9934
pISSN - 0270-7314
DOI - 10.1002/(sici)1096-9934(199808)18:5<563::aid-fut4>3.0.co;2-0
Subject(s) - library science , citation , national museum , operations research , history , archaeology , engineering , computer science
This article investigates price and trading volume relations for near term crude oil contracts at the New York Mercantile Exchange (NYMEX). The study investigates the informativeness of after-hours trading under the prior assumption that daytime and after-hours trading sessions are completely segmented. The research methodology uses a vector autoregressive (VAR) structural model to identify the lead/lag structure between the leading overnight session and the lagging daytime session. This framework permits us to impose testable restrictions in considering the view that after-hours price changes and trading volumesprovide contemporaneous information in the daytime price discovery process. Furthermore, the reduced-form VAR allows testing whether innovations (surprises) in daytime prices and trading activity influence overnight price/volume behavior.