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Information shares for markets with partially overlapping trading hours

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  • Dimpfl, Thomas
  • Schweikert, Karsten

Abstract

We study daily information shares for markets with partially overlapping trading hours. The established methodologies consider price discovery measures computed either for exactly overlapping trading hours or in sequential markets. In contrast, we develop a framework that exploits all price information generated during a full trading day in which any market can be open or closed at any time and propose a contribution-weighted information share. We apply this new method to the S&P 500 and NASDAQ-100 ETF and E-mini futures markets. It turns out that conventional information shares for the ETF markets are overestimated. E-mini futures are traded almost continuously throughout the trading day and process additional pricing relevant information when the ETF markets are closed.

Suggested Citation

  • Dimpfl, Thomas & Schweikert, Karsten, 2023. "Information shares for markets with partially overlapping trading hours," Journal of Banking & Finance, Elsevier, vol. 154(C).
    • Handle: RePEc:eee:jbfina:v:154:y:2023:i:c:s0378426623001681
    DOI: 10.1016/j.jbankfin.2023.106970
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    More about this item

    Keywords

    Price discovery; Information share; Trading hours; Cointegration; Volatility;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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