Ulibarri, Carlos A. (1998): Is after-hours trading informative? Published in: Journal of Futures Markets , Vol. 18, No. 5 (1998): pp. 563-579.
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This article investigates price and trading volume relations for near term crude oil contracts at the New York Mercantile Exchange (NYMEX). The study investigates the informativeness of after-hours trading under the prior assumption that daytime and after-hours trading sessions are completely segmented. The research methodology uses a vector autoregressive (VAR) structural model to identify the lead/lag structure between the leading overnight session and the lagging daytime session. This framework permits us to impose testable restrictions in considering the view that after-hours price changes and trading volumes provide contemporaneous information in the daytime price discovery process. Furthermore, the reduced-form VAR allows testing whether innovations (surprises) in daytime prices and trading activity influence overnight price/volume behavior.
|Item Type:||MPRA Paper|
|Original Title:||Is after-hours trading informative?|
|Keywords:||futures markets; after hour trading; structural var model|
|Subjects:||G - Financial Economics > G1 - General Financial Markets > G14 - Information and Market Efficiency; Event Studies
G - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing; Trading volume; Bond Interest Rates
G - Financial Economics > G1 - General Financial Markets > G13 - Contingent Pricing; Futures Pricing
|Depositing User:||Carlos A. Ulibarri|
|Date Deposited:||24. Apr 2009 00:51|
|Last Modified:||14. Feb 2013 00:55|
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