The information content of end-of-the-day index futures returns: International evidence from the Osaka Nikkei 225 futures contract

Hiraki, Takato; Maberly, Edwin D.; Takezawa, Nobuya

doi:10.1016/0378-4266(94)00064-a

Cited by 24 publications

(41 citation statements)

References 29 publications

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“…In order driven markets, Andersen and Bollerslev (1997) found a W-shaped pattern for S&P 500 futures. Hiraki et al (1995) found a reverse L shape for the Nikkei futures. Chan, Christie and Schultz (1995) find the U-shaped volume on Nasdaq.…”

Section: Previous Empirical Evidencementioning

confidence: 92%

Private Information, Excessive Volatility and Intraday Empirical Regularities in the Spot Foreign Exchange Market

2005

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Financial markets generally, and the spot foreign exchange market in particular, are reputed to be excessively volatile. Previous research has linked this excess volatility to private information. This article re-examines the theory and challenges that link. Empirical evidence suggests that random variation between buy and sell volumes is a more important driver than private information in the spot foreign exchange market. The paper also develops theoretical propositions for the relationships between key market variables on an intraday basis. High frequency data is used to examine the role of private information in explaining well documented intraday patterns that persist in the time series of a number of trade related variables, including return volatility. JEL Classification: F31; G12; G15; D4

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Section: Previous Empirical Evidencementioning

confidence: 92%

Private Information, Excessive Volatility and Intraday Empirical Regularities in the Spot Foreign Exchange Market

2005

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“…In the context of empirical examination, these frictions are market signals, where this study developed model by following the models of Bollerslev (1986Bollerslev ( , 1987, Bollerslev et al (1988), as well as the two-stage GARCH model of Hiraki et al (1995), and the two-stage IGARCH model of Barik and Supriya (2007).The dependent variables for this study are returns (V t ), total money supply (M 3t ), number of market lots (M lt ), and impact costs (C t ). The independent variables are trading margins (M t ), and trading prices (T pt ), among others.…”

Section: Theory Methodology and Datamentioning

confidence: 99%

Derived signals for S & P CNX nifty index futures

Kumar

2017

Financ Innov

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Background: The financial futures market in India is relatively new. The major advantage of derivatives as financial products is that their use minimizes the risks associated with securities. However, hedging effectiveness requires understanding key market signals such as trading margins, credit availability, and price discreteness. Results: In the first stage, it was observed that returns and trading margins, as well as credit availability, were cointegrated, thereby indicating a long-term relationship between them. In the first stage of the V-IGARCH (1, 1) model, heteroscedasticity with the mean returns through residuals was observed, where the estimated coefficients were negative. This finding indicated that maximizing returns requires efficient use of trading margins as well as availability of credit positions. From the second stage regression estimation, it was observed that trading prices and total money supply were directly related, and thus had direct effects on returns. The total money supply increased gradually until the last trading hour. In the conditional variance equation, total money supply was related negatively to the availability of credit for market participants. Under these circumstances, the efficient interbank call interest rate was necessary to maintain the trading margin. In effect, efficient Nifty returns would be achieved.

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“…Hiraki et al (1995) show that the closing returns of the previous day and the opening returns on the next day are positively correlated, indicating information across different dates transmission during trading (e.g., Kyle, 1985). Following this spirit, if the spot market is a good source of information for the futures market, we should observe that the post-closing, overnight and pre-closing returns of the futures market are positively correlated with the overnight spot return.…”

Section: Literature Review and Hypothesis Developmentmentioning

confidence: 99%

“…Both Foster and Viswanathan (1994) and Hiraki et al (1995) find that informed traders strategically trade on their private information and trading of futures contracts during post-closing and pre-opening sessions reveals informed traders' private information and facilitates price discovery of the spot market. However, in a country where political control is overwhelming, information arbitrageurs will be driven away thus stock prices reflects only public and common information (Morck et al, 2000).…”

Section: Literature Review and Hypothesis Developmentmentioning

confidence: 99%

“…First, how are returns from different trading sessions of futures during the non-trading hours related to the overnight spot market return? Second, following Hiraki, Maberly, and Takezawa (1995) and Cheng, Jiang, and Ng (2004), does the return innovation extracted from the futures market during the extended trading hours explain the overnight spot return? Finally, is the overnight futures market effective in incorporating information from the main overseas markets such as the U.S. market?…”

Section: Introductionmentioning

confidence: 99%

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Information Content of CSI 300 Index Futures during Extended Trading Hours: Evidence from China

Chen

Lin

2013

AJFA

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China established its stock futures exchange in year 2006, but not until year 2010 did the first futures contract become publicly available for trading. The tight government as well as the composition of market participants raises the question that whether this futures market is informationally efficient. We study the information incorporation of the futures market during the extended trading hours beyond those of the underlying spot market. Our analyses show that, first, spot market is the main information source of the futures market. In addition, using a T-GARCH model, we show that the post-closing, overnight and pre-opening returns are significantly correlated with the overnight spot market return. Second, the return innovations of the futures market significantly correlate with the overnight spot market return, indicating a price discovery role of the futures market. Finally, the futures market during the extended hours reflects the overnight news in the U.S. market.

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The information content of end-of-the-day index futures returns: International evidence from the Osaka Nikkei 225 futures contract

Cited by 24 publications

References 29 publications

Private Information, Excessive Volatility and Intraday Empirical Regularities in the Spot Foreign Exchange Market

Private Information, Excessive Volatility and Intraday Empirical Regularities in the Spot Foreign Exchange Market

Derived signals for S & P CNX nifty index futures

Information Content of CSI 300 Index Futures during Extended Trading Hours: Evidence from China

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