Premium
INTRADAY RETURN AND VOLATILITY PATTERNS IN THE STOCK MARKET: FUTURES VERSUS SPOT
Author(s) -
Finnerty Joseph E.,
Park Hun Y.
Publication year - 1987
Publication title -
financial review
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.621
H-Index - 47
eISSN - 1540-6288
pISSN - 0732-8516
DOI - 10.1111/j.1540-6288.1987.tb01181.x
Subject(s) - futures contract , volatility (finance) , stock (firearms) , financial economics , futures market , stock market , citation , economics , history , library science , computer science , context (archaeology) , archaeology
We investigate the existence of intraday return and volatility patterns in the spot as well as in the futures markets of common stocks. Confirming the results of previous studies on weekend effects (i.e., the significant negative Monday return in the spot market but not in the futures market), we also provide new findings. The negative weekend effect in the spot market is found to start from around 1:30 p.m. on Friday (not from closing) and end at around 9:00 a.m. on Monday, 30 minutes after trading is open. We find a systematic and significant intraday volatility behavior of prices in the spot market, but no such occurances in the futures market. A lunch hour effect is detected, where price movements are minimal during the lunch period in both the spot and futures markets. An unexplained anomaly is the persistent negative trend in prices for both spot and futures on Wednesday. Intraday Return and Volatility Patterns in the Stock Market: Futures versus Spot