S&P 500 Index Futures Volatility and Price Around the NYSE Close
JOURNAL OF BUSINESS Vol 68 No 1, January 1995
Posted: 22 Oct 2000
We examine the effects of the closing of the NYSE on volatility and price changes in the 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 the futures market, thus exhibiting a U-shaped pattern after the NYSE closes. We also find that Friday's close is the period of highest volatility in the futures market. Also, in the final minutes on Friday, the S&P futures price anticipates the well-known weekend effect found in equities.
JEL Classification: G1
Suggested Citation: Suggested Citation