Daytime vs. Overnight Trading in Equity Index Futures Markets

Sandip Dutta, Subhash C Sharma


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.

Full Text:




  • There are currently no refbacks.

Copyright (c)

Accounting and Finance Research
ISSN 1927-5986 (Print)   ISSN 1927-5994 (Online) Email:

Copyright © Sciedu Press

To make sure that you can receive messages from us, please add the '' domain to your e-mail 'safe list'. If you do not receive e-mail in your 'inbox', check your 'bulk mail' or 'junk mail' folders.