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Daytime vs. Overnight Trading in Equity Index Futures Markets

DOI: 10.5430/afr.v1n2p13

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In this study, we examine the information links between daytime and overnight trading sessions in the E-mini futures markets. Our analysis includes the overnight session which hitherto remains unexplored in the E-mini literature. Overall, the results suggest that, for the sample period considered, despite being 24-hour markets, the daytime and overnight sessions appear to be segmented and that the daytime session behaves like a separate daytime market. Also, the overnight session facilitates an efficient flow of information from one daytime session to the next, thereby mitigating the pricing errors in the process.


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