The Effect of Extended Trading Hours on the Information Flow between Cash and Futures Markets PDF Download
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Author: Leo H. Chan Publisher: ISBN: Category : Languages : en Pages : 24
Book Description
On November 20, 1998, the Hong Kong Futures Exchange started opening its markets fifteen minutes earlier than the opening time and closes its markets fifteen minutes later than the closing time of the Hong Kong Stock Exchange. In this paper we utilize the Geweke feedback measures to examine the effect of extended trading hours of the Hong Kong index futures on the information flow between futures and cash markets. We find that extending the trading hours leads to a stronger information flow from the cash market to the futures market.
Author: Leo H. Chan Publisher: ISBN: Category : Languages : en Pages : 24
Book Description
On November 20, 1998, the Hong Kong Futures Exchange started opening its markets fifteen minutes earlier than the opening time and closes its markets fifteen minutes later than the closing time of the Hong Kong Stock Exchange. In this paper we utilize the Geweke feedback measures to examine the effect of extended trading hours of the Hong Kong index futures on the information flow between futures and cash markets. We find that extending the trading hours leads to a stronger information flow from the cash market to the futures market.
Author: Leo H. Chan Publisher: ISBN: Category : Languages : en Pages :
Book Description
On November 20, 1998, the Hong Kong Futures Exchange started opening its markets fifteen minutes earlier than the opening time and closes its markets fifteen minutes later than the closing time of the Hong Kong Stock Exchange. In this paper we utilize the Geweke feedback measures to examine the effect of extended trading hours of the Hong Kong index futures on the information flow between futures and cash markets. We find that extending the trading hours leads to a stronger information flow from the cash market to the futures market.
Author: Kotaro Miwa Publisher: ISBN: Category : Languages : en Pages : 32
Book Description
The extension of trading hours to provide more trading opportunities and improve price efficiency has increasingly been discussed. However, currently, there is limited trading activity during the stock market's extended-hours trading session. Thus, we should examine whether the extension of trading hours is still effective for creating more trading opportunity and price efficiency even if there are few market participants during the extended session. For this study, we build an agent-based market model based on that of Brock and Hommes (1998) and analyze the effect of extending trading hours. We find that although extending trading hours could increase daily trading volume, it could distort price formation and trade opportunity if market participants are limited during the extended-hours session. Specifically, the extension could result in more concentrated trading in the opening session, wider divergence between market prices and the fundamental value of stocks, and higher return volatility (especially at the open).
Author: Leo H. Chan
Author: Leo H. Chan
Author: Leo H. Chan
Author: Gary Robinson
Author: 
Author: Lars Nordén
Author: Wan-yuk Ng
Author: Kotaro Miwa
Author: Ahmet E. Kocagil
Author: Elias Takor Ayuk
Author: Lawrence Harris