Intraday returns and the frequency of trading at the ask on the Sydney Futures Exchange

a research note

Michael Aitken, Alex Frino, Elvis Jarnecic

Research output: Contribution to journalArticle

Abstract

This article documents and provides explanations for intraday patterns in returns for the Share Price Index (SPI) futures contract traded on the Sydney Futures Exchange (SFE). Consistent with overseas futures markets research, a positive and significant overnight return is documented. Unlike overseas futures markets, we find little evidence of an end of day price rise. Our evidence suggests that overnight returns for the SPI contract are largely driven by the way returns are typically measured, which ignores the fact that there is a significantly greater frequency of sellers at the market close and buyers at the start of the day. These patterns are consistent with hedging behaviour by futures traders with long positions in the underlying stock.
Original languageEnglish
Pages (from-to)228-235
Number of pages8
JournalAbacus
Volume33
Issue number2
DOIs
Publication statusPublished - 1997
Externally publishedYes

Keywords

  • Bid-ask bounce
  • Futures
  • Intraday patterns

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