Pricing Behavior in an Off-Hours Computerized Market
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- Panel A: SP 500 Futures Contract
- Panel B: DM Futures Contract
- Panel C: Yen Futures Contract
- Panel D: Swiss Franc Futures Contract
Summary StatisticsThis table contains summary statistics on prices and logarithmic price returns from trading on the GLOBEX automated system and the Chicago Mercantile Exchange floor market, for the September 1994 S&P 500, the Deutschemark (DM), the Yen, and the Swiss Franc (SF) contracts over the period 7/1/94 through 9/1/94. The number of observations varies from about 3000 to 8000 on GLOBEX to roughly 72,000 to 95,000 for the floor, depending on the contract. Panel A: S&P 500 Futures Contract
Panel B: DM Futures Contract
Panel C: Yen Futures Contract
Panel D: Swiss Franc Futures Contract
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