Please use this identifier to cite or link to this item:
Ozturk, Sait R.
van der Wel, Michel
van Dijk, Dick
Year of Publication: 
Series/Report no.: 
Tinbergen Institute Discussion Paper 15-082/III
We study why a majority of trades still happen during the pit hours, i.e. when the trading pit is open, even after the pit ceased to be a liquid and informative venue. We investigate the case of 30-year U.S. Treasury futures using a ten-years-long intraday data set which contains the introduction of the CME Globex platform as an example of sophistication in electronic trading. We use a structural model to estimate the time-variation in potential factors of the clustering of trading activity around the pit hours, namely price informativeness, information asymmetry and price impact of trades. We find evidence for a feedback mechanism between trading activity and these factors. Across the sample period, price informativeness during the afterhours is a consistently significant factor attracting trade activity. Information asymmetry has a negative effect on afterhours act ivity, particularly during the crisis years. The negative effect of price impact on afterhours activity ceases to be a significant factor from 2007 on, possibly due to improvements in order execution algorithms and electronic trading facilities.
Afterhours Trading
Market microstructure
Kalman filter
Document Type: 
Working Paper

Files in This Item:
1.11 MB

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.