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Article: Standard & Poor's 500 Index Futures Volatility and Price Changes Around the New York Stock Exchange Close

TitleStandard & Poor's 500 Index Futures Volatility and Price Changes Around the New York Stock Exchange Close
Authors
Chang, ECLocke, PRJain, PC
Issue Date1995
Citation
Journal of Business, 1995, v. 68, n. 1, p. 61-84 How to Cite?
DOI: http://dx.doi.org/10.1086/296653
AbstractWe examine the effects of the closing of the New York Stock Exchange (NYSE) on volatility and price changes in the Standard and Poor's (S&P) futures market, which trades for 15 more minutes each day. When the NYSE closes, volatility in the futures market drops significantly, only to increase at the close of the futures market, thus exhibiting a U-shaped pattern after the NYSE closes. We also find that Friday's close is the period of highest volatility in the futures market. Also, in the final minutes on Friday, the S&P futures price anticipates the well-known weekend effect found in equities.
Persistent Identifierhttp://hdl.handle.net/10722/206377
ISSN
0021-9398
ISI Accession Number ID
WOS:A1995QC17900003

 

DC FieldValueLanguage
dc.contributor.authorChang, ECen_US
dc.contributor.authorLocke, PRen_US
dc.contributor.authorJain, PCen_US
dc.date.accessioned2014-10-28T09:14:37Z-
dc.date.available2014-10-28T09:14:37Z-
dc.date.issued1995en_US
dc.identifier.citationJournal of Business, 1995, v. 68, n. 1, p. 61-84en_US
dc.identifier.issn0021-9398-
dc.identifier.urihttp://hdl.handle.net/10722/206377-
dc.description.abstractWe examine the effects of the closing of the New York Stock Exchange (NYSE) on volatility and price changes in the Standard and Poor's (S&P) futures market, which trades for 15 more minutes each day. When the NYSE closes, volatility in the futures market drops significantly, only to increase at the close of the futures market, thus exhibiting a U-shaped pattern after the NYSE closes. We also find that Friday's close is the period of highest volatility in the futures market. Also, in the final minutes on Friday, the S&P futures price anticipates the well-known weekend effect found in equities.-
dc.languageengen_US
dc.relation.ispartofJournal of Businessen_US
dc.titleStandard & Poor's 500 Index Futures Volatility and Price Changes Around the New York Stock Exchange Closeen_US
dc.typeArticleen_US
dc.identifier.emailChang, EC:ecchang@hku.hken_US
dc.identifier.authorityChang, EC=rp01050en_US
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1086/296653-
dc.identifier.volume68en_US
dc.identifier.issue1en_US
dc.identifier.spage61en_US
dc.identifier.epage84en_US
dc.identifier.isiWOS:A1995QC17900003-
dc.identifier.issnl0021-9398-

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