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Intraday patterns in the S&P 500 index futures market

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  • Peter D. Ekman

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  • Peter D. Ekman, 1992. "Intraday patterns in the S&P 500 index futures market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 12(4), pages 365-381, August.
    • Handle: RePEc:wly:jfutmk:v:12:y:1992:i:4:p:365-381
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    Cited by:

    1. Evans, Kevin P. & Speight, Alan E.H., 2010. "Intraday periodicity, calendar and announcement effects in Euro exchange rate volatility," Research in International Business and Finance, Elsevier, vol. 24(1), pages 82-101, January.
    2. Yi-Tsung Lee & Wei-Shao Wu & Yun Yang, 2013. "Informed Futures Trading and Price Discovery: Evidence from Taiwan Futures and Stock Markets," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 20(3), pages 219-242, September.
    3. Elvis Jarnecic, 1999. "Trading Volume Lead/Lag Relations Between the ASX and ASX Option Market: Implications of Market Microstructure," Australian Journal of Management, Australian School of Business, vol. 24(1), pages 77-94, June.
    4. B.B. Chakrabarti & Vivek Rajvanshi, 2017. "Intraday Periodicity and Volatility Forecasting: Evidence from Indian Crude Oil Futures Market," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 16(1), pages 1-28, April.
    5. Tribhuvan N. Puri & George C. Philippatos, 2008. "Asymmetric Volume‐Return Relation and Concentrated Trading in LIFFE Futures," European Financial Management, European Financial Management Association, vol. 14(3), pages 528-563, June.
    6. Miwa, Kotaro, 2019. "Trading hours extension and intraday price behavior," International Review of Economics & Finance, Elsevier, vol. 64(C), pages 572-585.
    7. Lei Tan & Jun-Jie Chen & Bo Zheng & Fang-Yan Ouyang, 2016. "Exploring Market State and Stock Interactions on the Minute Timescale," PLOS ONE, Public Library of Science, vol. 11(2), pages 1-13, February.

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