Daytime vs. Overnight Trading in Equity Index Futures Markets | Zendy

Sandip Dutta | Zendy; Subhash C. Sharma | Zendy

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Daytime vs. Overnight Trading in Equity Index Futures Markets

Author(s) -

Sandip Dutta,

Subhash C. Sharma

Publication year - 2012

Publication title -

accounting and finance research

Language(s) - English

Resource type - Journals

eISSN - 1927-5994

pISSN - 1927-5986

DOI - 10.5430/afr.v1n2p13

Subject(s) - daytime , futures contract , session (web analytics) , equity (law) , business , economics , monetary economics , finance , advertising , political science , atmospheric sciences , law , geology

In this study, we examine the information links between daytime and overnight trading sessions in the E-mini futures markets. Our analysis includes the overnight session which hitherto remains unexplored in the E-mini literature. Overall, the results suggest that, for the sample period considered, despite being 24-hour markets, the daytime and overnight sessions appear to be segmented and that the daytime session behaves like a separate daytime market. Also, the overnight session facilitates an efficient flow of information from one daytime session to the next, thereby mitigating the pricing errors in the process.

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