The effect of nighttime trading of futures markets on information flows: evidence from China

Hung-Gay Fung (), Liuqing Mai () and Lin Zhao ()
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Hung-Gay Fung: University of Missouri-St. Louis
Liuqing Mai: University of Missouri-St. Louis
Lin Zhao: Martha and Spencer Love School of Business, Elon University

China Finance and Economic Review, 2016, vol. 4, issue 1, 1-16

Abstract: Abstract Background In the past couple of years, China’s futures exchanges have launched nighttime trading sessions. Methods We use daily data from 23 commodity futures to investigate the impact of this important policy change. Results Our findings suggest that the launching of nighttime trading effectively improved the efficiency of futures prices and reduced the volatility of prices. The normality of returns improves during the post-nighttime trading period. As documented in the literature, the interactions between trading activities (i.e., trading volume and open interest) and volatility conform better to the observed patterns in developed markets. Conclusions This study provides sound evidence that China has taken steady steps toward its goal of establishing price-setting power in key commodities on world financial markets.

Keywords: China’s futures market; Futures price and volatility; Nighttime trading; G13; G14; G15 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (4)

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DOI: 10.1186/s40589-016-0032-0

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