| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5085402 | International Review of Financial Analysis | 2006 | 19 Pages |
Abstract
The trading behaviour of Intra-night options, introduced on the Sydney Futures market in 1993, is investigated. These options on bond futures trade during the night and last for a single session; hence they differ markedly from conventional options. Little is known about their trading behaviour. The bid-ask, volume and volatility patterns for overnight options on 3-year and 10-year T-bond futures are investigated. US macroeconomic announcements affect Australian bond prices and the impact of these announcements is also investigated. The results show that overnight options do not necessarily conform to patterns exhibited by conventional options.
Related Topics
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Economics and Econometrics
Authors
Liping Zou, Lawrence C. Rose, John F. Pinfold,