Is after-hours trading informative?

Carlos Ulibarri

MPRA Paper from University Library of Munich, Germany

Abstract: 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.

Keywords: futures markets; after hour trading; structural var model (search for similar items in EconPapers)
JEL-codes: G12 G13 G14 (search for similar items in EconPapers)
Date: 1998
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Citations: View citations in EconPapers (6)

Published in Journal of Futures Markets 5.18(1998): pp. 563-579

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:14818

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