Intra-Session Variation in Market Characteristics

Intra-Session Variation in Market Characteristics

This table contains summary statistics on price changes, volatility computed as the averaged absolute price changes, number of trades per hour, and the variance of price relative to number of trades, from trading on the GLOBEX automated system and the Chicago Mercantile Exchange floor market, for the September 1994 S&P 500, and the Deutschemark (DM contracts over the period 7/1/94 through 9/1/94. Columns marked “open” contain figures for the first hour of the trading session, while columns marked “close” contain analogous numbers for the last hour of the trading session. The indicator “middle” covers the hours of 18:30 through 2:45 on Globex, and 11:30 through 13:00 on the floor, for the DM. For the S&P 500 contract, “middle” encompasses 19:45 through 4:00 on Globex and 11:00 through 12:45 on the floor.

Panel A: S&P 500 Futures Contract

		Globex				Floor
	open	middle	close		open	middle	close
p	-2.79a	0.35a	0.33a		7.12b	0.55a	0.36a
volatility	0.05	0.05	0.06		0.06	0.05	0.06
trades/hour	11.8	3.54	103		447	258	293
2(p)/trades	0.14	0.05	0.02		3.67a	3.84a	5.63a
lag correlation	-0.46	-0.34	-0.29		0.10	-0.09	-0.01

^a x 10<sup>-3

b</sup> x 10<sup>-5

c</sup> x 10^-7

Panel B: DM Futures Contract

		Globex				Floor
	open	middle	close		open	middle	close
p	-2.35b	0.20b	-1.23b		0.11b	0.08b	0.07b
volatility	0.20a	0.21a	0.19a		0.10a	0.10a	0.11a
trades/hour	3.29	3.69	5.36		300	240	154
2(p)/trades	0.07b	0.01b	0.03b		0.05c	0.03c	0.09c
lag correlation	-0.25	-0.08	-0.21		-0.04	0.02	-0.29

^a x 10<sup>-3

b</sup> x 10<sup>-5

c</sup> x 10^-7
Table III

Bid/Ask Spreads
This table contains estimates of bid/ask spreads. The minimum price variation for the S&P 500 futures contract is 0.05, and that for the currency futures is 0.0001, scaled by a factor of 100 to be 0.01 for reference in the table. The notations G and F denote GLOBEX trading and CME floor trading, respectively. The row heading “Total” refers to estimated spreads over the entire trading day. “Open” and “Close” denote estimates taken over the hour after trading begins and the hour before trading ends, respectively. “Middle” denotes estimates over trading activity between the hour after the open and the hour before the close. Generalized-method-of-moments robust standard errors are reported in parentheses.

		S&P		DM		YEN		SF
Total-G		0.104		0.030		0.042		0.053
		(0.002)		(0.001)		(0.001)		(0.003)
Total-F		0.106		0.020		0.024		0.024
		(0.000)		(0.000)		(0.000)		(0.000)
Open-G		0.104		0.030		0.043		0.053
		(0.002)		(0.001)		(0.001)		(0.003)
Open-F		0.110		0.019		0.023		0.023
		(0.000)		(0.000)		(0.000)		(0.000)
Close-G		0.103		0.031		0.041		0.053
		(0.002)		(0.001)		(0.001)		(0.003)
Close-F		0.104		0.019		0.023		0.024
		(0.000)		(0.000)		(0.000)		(0.000)
Middle-G		0.107		0.030		0.042		0.053
		(0.002)		(0.001)		(0.001)		(0.003)
Middle-F		0.106		0.021		0.024		0.024
		(0.002)		(0.000)		(0.000)		(0.000)

Table IV

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