Statistik › Intraday und Marktmikrostruktur › After hours trading
After hours trading is four per cent of volume and fifteen per cent of price discovery
| Zeitraum | Share of close to open price discovery |
|---|---|
| Post close | about 15.2% |
| Overnight | 2.4% |
| Pre open | about 73.9% |
| The opening trade itself | 8.5% |
Weighted price contribution across the periods between one close and the next open, for the 250 highest volume stocks on an electronic market across 212 trading days from March to December 2000. The table reports no standard errors. The overnight window, meaning the hours when nothing trades, contributes almost nothing; the work is done in the pre opening period.
Trading outside the session accounts for about 3.8 per cent of volume on the market studied and about 14.5 per cent of the price discovery. Almost none of it happens overnight: the pre opening period does three quarters of the work.
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