Finance and Financial Management
In this study we extend the work of Chang, Jain and Locke (1995) who study the Standard and Poor’s 500 (S&P 500) Index futures contract volatility around NYSE close by examining three ETFs, the Spider, the Diamonds and the Cubes price volatilities after market close. Similar to the S&P 500 Index futures contract ETFs continue trading until 16:15, which is 15 minutes after their underlying indexes are reported. This is the first study to the best of our knowledge to examine the volatility of ETFs around the NYSE close. We document that similar to the findings of Chang, Jain and Locke (1995) the Spider volatility has the pronounced U-shaped pattern however, the Diamonds and the Cubes volatilities consistently drop in the 15 minutes after NYSE close.
Stoyu Ivanov. "ETF Volatility around the New York Stock Exchange Close." Faculty Publications (2011).