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After Hours Trading in Equity Futures Markets

Dungey, Mardi; Fakhrutdinova, Luba; Goodhart, Charles

Description

Although it is well known that electronic futures data absorb news (slightly) in advance of spot markets the role of the electronic futures movement in out-ofhours trading has not previously been explored. The behavior of the 24-hour trade in the S&P 500

dc.contributor.authorDungey, Mardi
dc.contributor.authorFakhrutdinova, Luba
dc.contributor.authorGoodhart, Charles
dc.date.accessioned2015-12-10T22:30:49Z
dc.identifier.issn0270-7314
dc.identifier.urihttp://hdl.handle.net/1885/55258
dc.description.abstractAlthough it is well known that electronic futures data absorb news (slightly) in advance of spot markets the role of the electronic futures movement in out-ofhours trading has not previously been explored. The behavior of the 24-hour trade in the S&P 500
dc.publisherJohn Wiley & Sons Inc
dc.sourceJournal of Futures Markets
dc.titleAfter Hours Trading in Equity Futures Markets
dc.typeJournal article
local.description.notesImported from ARIES
local.identifier.citationvolume29
dc.date.issued2009
local.identifier.absfor150203 - Financial Institutions (incl. Banking)
local.identifier.ariespublicationu4222028xPUB323
local.type.statusPublished Version
local.contributor.affiliationDungey, Mardi, College of Asia and the Pacific, ANU
local.contributor.affiliationFakhrutdinova, Luba, University of Cambridge
local.contributor.affiliationGoodhart, Charles, London School of Economics
local.description.embargo2037-12-31
local.bibliographicCitation.issue2
local.bibliographicCitation.startpage114
local.bibliographicCitation.lastpage136
local.identifier.doi10.1002/fut.20354
dc.date.updated2015-12-09T10:05:09Z
local.identifier.scopusID2-s2.0-61349184297
CollectionsANU Research Publications

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