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

Eric C Chang, Prem C Jain and Peter R Locke

The Journal of Business, 1995, vol. 68, issue 1, 61-84

Abstract: We examine the effects of the closing of the New York Stock Exchange (NYSE) on volatility and price changes in the Standard & 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. Copyright 1995 by University of Chicago Press.

Date: 1995
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