Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/25078
Title: Information content of extended trading for index futures
Authors: Cheng, LTW 
Jiang, L 
Ng, RWY
Issue Date: 2004
Publisher: John Wiley & Sons Inc
Source: Journal of futures markets, 2004, v. 24, no. 9, p. 861-886 How to cite?
Journal: Journal of Futures Markets 
Abstract: The recent extension of trading hours for Hang Seng Index Futures provides an opportunity to examine whether extended futures trading contains useful information about spot returns. Using the weighted price contribution measure, we find that pre-open futures trades are associated with significant price discovery. We extend the model from T. Hiraki, E. D. Maberly, and N. Takezawa (1995) and adjust for the existence of a pre-open trading session and the overnight trading of cross-listed shares in London. Our results indicate that extended trading for index futures contains useful information in explaining subsequent spot returns during the trading day.
URI: http://hdl.handle.net/10397/25078
ISSN: 0270-7314
DOI: 10.1002/fut.20110
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