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Who trades in the stock index futures market when the underlying cash market is not trading?

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  • Chan, Yue-cheong

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  • Chan, Yue-cheong, 2005. "Who trades in the stock index futures market when the underlying cash market is not trading?," Pacific-Basin Finance Journal, Elsevier, vol. 13(5), pages 547-561, November.
    • Handle: RePEc:eee:pacfin:v:13:y:2005:i:5:p:547-561
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    References listed on IDEAS

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    1. Chang, Eric C & Jain, Prem C & Locke, Peter R, 1995. "Standard & Poor's 500 Index Futures Volatility and Price Changes around the New York Stock Exchange Close," The Journal of Business, University of Chicago Press, vol. 68(1), pages 61-84, January.
    2. King, Mervyn A & Wadhwani, Sushil, 1990. "Transmission of Volatility between Stock Markets," The Review of Financial Studies, Society for Financial Studies, vol. 3(1), pages 5-33.
    3. Foster, F Douglas & Viswanathan, S, 1990. "A Theory of the Interday Variations in Volume, Variance, and Trading Costs in Securities Markets," The Review of Financial Studies, Society for Financial Studies, vol. 3(4), pages 593-624.
    4. Chan, Kalok & Chan, K C & Karolyi, G Andrew, 1991. "Intraday Volatility in the Stock Index and Stock Index Futures Markets," The Review of Financial Studies, Society for Financial Studies, vol. 4(4), pages 657-684.
    5. Parkinson, Michael, 1980. "The Extreme Value Method for Estimating the Variance of the Rate of Return," The Journal of Business, University of Chicago Press, vol. 53(1), pages 61-65, January.
    6. Gerety, Mason S & Mulherin, J Harold, 1994. "Price Formation on Stock Exchanges: The Evolution of Trading within the Day," The Review of Financial Studies, Society for Financial Studies, vol. 7(3), pages 609-629.
    7. French, Kenneth R. & Roll, Richard, 1986. "Stock return variances : The arrival of information and the reaction of traders," Journal of Financial Economics, Elsevier, vol. 17(1), pages 5-26, September.
    8. Stoll, Hans R. & Whaley, Robert E., 1990. "The Dynamics of Stock Index and Stock Index Futures Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 25(4), pages 441-468, December.
    9. Forster, Margaret M. & George, Thomas J., 1996. "Pricing Errors at the NYSE Open and Close: Evidence from Internationally Cross-Listed Stocks," Journal of Financial Intermediation, Elsevier, vol. 5(2), pages 95-126, April.
    10. A. Craig MacKinlay, Krishna Ramaswamy, 1988. "Index-Futures Arbitrage and the Behavior of Stock Index Futures Prices," The Review of Financial Studies, Society for Financial Studies, vol. 1(2), pages 137-158.
    11. Amihud, Yakov & Mendelson, Haim, 1987. "Trading Mechanisms and Stock Returns: An Empirical Investigation," Journal of Finance, American Finance Association, vol. 42(3), pages 533-553, July.
    12. Stoll, Hans R & Whaley, Robert E, 1990. "Stock Market Structure and Volatility," The Review of Financial Studies, Society for Financial Studies, vol. 3(1), pages 37-71.
    13. Chan, Kalok & Chung, Y. Peter & Johnson, Herb, 1995. "The Intraday Behavior of Bid-Ask Spreads for NYSE Stocks and CBOE Options," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 30(3), pages 329-346, September.
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    Cited by:

    1. Hua, Renhai & Liu, Qingfu & Tse, Yiuman, 2016. "Extended trading in Chinese index markets: Informed or uninformed?," Pacific-Basin Finance Journal, Elsevier, vol. 36(C), pages 112-122.

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