Plan B - University Access Only
Master of Science (MS)
The purpose of this paper is to determine if the intraday trade affects the overnight trade. I use Chicago Board of Trade end-of-day data to determine an intraday and overnight price for the commodities and, I employ the ordinary least squares (OLS) regression procedure io" determine the relationship between the intraday and overnight trading periods. I determine that there is a minor, yet statistically significant momentum relationship between the intraday and the overnight trading. This suggests that if a market is moving in an upward direction during the intraday period, it will continue moving in that direction for the overnight period. Also, if the market is declining in price during the intraday, it will continue declining during the overnight period. The magnitude of this relationship is small and of similar magnitude to that of the weekend.
Number of Pages
South Dakota State University
Copyright © Steven J. Devney
Devney, Steven J., "Does the Intraday Movement in Price Affect the Overnight Price for Agricultural Commodities" (2007). Economics Graduate Students Plan B Research Projects. 17.