Open AccessDaytime 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.