RT Journal Article
SR Electronic
T1 Informed Trading and Price Discovery Around the Clock
JF The Journal of Alternative Investments
FD Institutional Investor Journals
SP 68
OP 81
DO 10.3905/jai.2014.17.2.068
VO 17
IS 2
A1 Chan Wung Kim
A1 Timothy T. Perry
A1 Manjeet Dhatt
YR 2014
UL https://pm-research.com/content/17/2/68.abstract
AB This article examines intraday patterns of volume, volatility, informed trading, and price discovery in actively traded Eurodollar (ED) futures contracts exchanged on the Chicago Mercantile Exchange’s (CME) Globex electronic transaction platform between January 3, 2005, and December 29, 2006. This period immediately follows the full integration of Globex into this market. On an hourly basis—and within four distinct intraday periods—the author observes notable intraday market patterns in volume, volatility, informed trading, and price discovery in this around-the-clock setting. Traders have nearly continuous access to this market, and information fundamental to the pricing of Eurodollar futures contracts can materialize at any time of the day. Yet, the vast majority of informed trading and price discovery in this market continues to occur during historical regularly scheduled trading hours, when volume and volatility are highest.TOPICS: Futures and forward contracts, developed, exchanges/markets/clearinghouses, statistical methods