search query: @author Jain, P. / total: 2
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| Author: | Chang, E. Jain, P. Locke, P. |
| Title: | Standard and Poor's 500 index futures volatility and price changes around the New York Stock Exchange close |
| Journal: | Journal of Business
1995 : JAN, VOL. 68:1, p. 61-84 |
| Index terms: | FUTURE PRICES CHANGE |
| Language: | eng |
| Abstract: | The authors examine the effects of the closing of the New York Stock Exchange (NYSE) on volatility and price changes in the Standard & Poor's (S&P) futures market, which trades for 15 more minutes each day. When the NYSE closes, volatility in the futures market drops significantly, only to increase at the close of of the futures market, thus exhibiting a U-shaped pattern after the NYSE closes. The authors also find that Friday's close is the period of highest volatility in the futures market. |
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