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Intraday Returns and the Frequency of Trading at the Ask on the Sydney Futures Exchange: A Research Note

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Abstract:

This article documents and provides explanations for intraday patterns in returns for the Share Price Index (SPI) futures contract traded on the Sydney Futures Exchange (SFE). Consistent with overseas futures markets research, a positive and significant overnight return is documented. Unlike overseas futures markets, we find little evidence of an end of day price rise. Our evidence suggests that overnight returns for the SPI contract are largely driven by the way returns are typically measured, which ignores the fact that there is a significantly greater frequency of sellers at the market close and buyers at the start of the day. These patterns are consistent with hedging behaviour by futures traders with long positions in the underlying stock.

Keywords: Bid-ask bounce; Futures; Intraday patterns

Document Type: Research Article

DOI: http://dx.doi.org/10.1111/1467-6281.00013

Affiliations: Department of Finance, The University of Sydney

Publication date: September 1, 1997

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