The “night effect” of intraday trading: Evidence from Chinese gold and silver futures markets

Gaoping Ma, Elie Bouri, Yahua Xu and Z. Ivy Zhou

Global Finance Journal, 2025, vol. 64, issue C

Abstract: This paper analyses the “night effect”, reflecting the introduction of night trading, on intraday trading patterns in the Chinese precious metals futures markets. The main results are summarized as follows: Firstly, both intraday momentum and reversal effect are significant. Secondly, before the launch of night trading, the first half-hour daytime returns have significant predictive power, whereas after the introduction of night trading, the first half-hour night returns become a significant predictor. This change can be attributed to the immediate reactions of domestic investors to international news released in the night session. Thirdly, the driving force of intraday predictability is demonstrated by evidence showing that intraday reversals are mainly driven by liquidity oversupply offered by irrational uninformed traders. Fourthly, the market timing strategy outperforms the always-long and buy-and-hold benchmark strategies. Overall, this study reveals that the introduction of night trading significantly alters intraday return predictability patterns of Chinese precious metals futures markets, benefiting regulators by highlighting the need for enhanced overnight market monitoring.

Keywords: Intraday momentum and reversal; Chinese gold and silver futures; Night trading session; High-frequency data; Market timing strategy; First half-hour returns; Forecasting analysis (search for similar items in EconPapers)
JEL-codes: G12 G13 G15 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:glofin:v:64:y:2025:i:c:s1044028325000110

DOI: 10.1016/j.gfj.2025.101084

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