Economics at your fingertips  

Should macroeconomic information be released during trading breaks in futures markets?

Alex Frino and Michael Garcia

Journal of Futures Markets, 2018, vol. 38, issue 7, 775-787

Abstract: This study examines the impact of releasing macroeconomic information during trading breaks versus during continuous trading in futures markets. Recently, the Chicago Mercantile Exchange changed its trading hours, while the United States Department of Agriculture changed the release time of its monthly report. These changes provide a natural experiment for assessing the role of trading breaks in futures markets. In this study, price volatility and bid‐ask spreads are found to be abnormally elevated and market depth abnormally low for a longer period during the continuous trading period. Therefore, releasing macroeconomic information during trading breaks in futures markets improves market quality.

Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0270-7314

Access Statistics for this article

Journal of Futures Markets is currently edited by Robert I. Webb

More articles in Journal of Futures Markets from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley Content Delivery ().

Page updated 2020-09-17
Handle: RePEc:wly:jfutmk:v:38:y:2018:i:7:p:775-787