Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 23, 2016 erstellt
Beschreibung:
We compare trade size clustering of morning, afternoon, and after hours trades in both the E-mini S&P 500 and E-mini NASDAQ-100 futures markets. Morning and afternoon volatility is higher than after hours volatility. Morning and afternoon trades cluster more at round sizes than after hours trades. Morning and afternoon trades cluster more at round sizes on days with macroeconomic announcements than without announcements. Taken together, our results are consistent with the prior literature that trade size clustering increases with volatility