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Should macroeconomic information be released during trading breaks in futures markets?
Author(s) -
Frino Alex,
Garcia Michael
Publication year - 2018
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/fut.21908
Subject(s) - futures contract , open outcry , volatility (finance) , algorithmic trading , high frequency trading , futures market , alternative trading system , economics , trading strategy , price discovery , financial economics , forward market , electronic trading , monetary economics , business , finance
This study examines the impact of releasing macroeconomic information during trading breaks versus during continuous trading in futures markets. Recently, the Chicago Mercantile Exchange changed its trading hours, while the United States Department of Agriculture changed the release time of its monthly report. These changes provide a natural experiment for assessing the role of trading breaks in futures markets. In this study, price volatility and bid‐ask spreads are found to be abnormally elevated and market depth abnormally low for a longer period during the continuous trading period. Therefore, releasing macroeconomic information during trading breaks in futures markets improves market quality.