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TRADE SIZE CLUSTERING IN THE E‐MINI INDEX FUTURES MARKETS
Author(s) -
Wang Qin,
Zhang Jun
Publication year - 2016
Publication title -
journal of financial research
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.319
H-Index - 49
eISSN - 1475-6803
pISSN - 0270-2592
DOI - 10.1111/jfir.12097
Subject(s) - morning , volatility (finance) , futures contract , volatility clustering , cluster analysis , economics , index (typography) , financial economics , econometrics , statistics , mathematics , medicine , computer science , autoregressive conditional heteroskedasticity , world wide web
We compare trade size clustering of morning, afternoon, and after‐hours trades in both the E‐mini S&P 500 and E‐mini NASDAQ‐100 futures markets. Morning and afternoon volatility is higher than after‐hours volatility. Morning and afternoon trades cluster more at round sizes than do after‐hours trades, and morning and afternoon trades cluster more on days with macroeconomic announcements than without announcements. Taken together, our results are consistent with the prior literature that trade size clustering increases with volatility.