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

See all articles by Eric C. Chang

Eric C. Chang

University of Hong Kong - School of Business

Prem C. Jain

Georgetown University - Department of Accounting and Business Law

Peter Locke

Texas Christian University

Abstract

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

Chang, Eric Chieh C. and Jain, Prem C. and Locke, Peter R., S&P 500 Index Futures Volatility and Price Around the NYSE Close. JOURNAL OF BUSINESS Vol 68 No 1, January 1995. Available at SSRN: https://ssrn.com/abstract=5665

Eric Chieh C. Chang (Contact Author)

University of Hong Kong - School of Business ( email )

Meng Wah Complex
Pokfulam Road
Hong Kong
China

Prem C. Jain

Georgetown University - Department of Accounting and Business Law ( email )

McDonough School of Business
Washington, DC 20057
United States
202-687-2260 (Phone)

Peter R. Locke

Texas Christian University ( email )

Neeley School of Business
TCU Box 298530
Fort Worth, TX 76129
United States
817-257-5048 (Phone)

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