Night trading with futures in China: The case of Aluminum and Copper

Tony Klein and Neda Todorova

Resources Policy, 2021, vol. 73, issue C

Abstract: We use high-frequency data to examine the effects of introducing a night trading session at the Shanghai Futures Exchange (SHFE) in 2013. For Copper, the realized volatility of the regular session is endogenously determined, while the night session is driven by the immediately preceding volatility of the London Metal Exchange (LME). In contrast, Chinese Aluminum futures are more resistant to exogenous factors and show pronounced long memory. We find no indications that the SHFE draws volume from LME. The existing break between daytime and night session has significant informational content and must be separated when processing intraday data.

Keywords: SHFE; Futures markets; Aluminum; Copper; High-frequency data; Night trading (search for similar items in EconPapers)
JEL-codes: C22 G15 Q37 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:73:y:2021:i:c:s0301420721002191

DOI: 10.1016/j.resourpol.2021.102205

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