Could the Extended Trading of CSI 300 Index Futures Facilitate Its Role of Price Discovery?

Sungbin Sohn and Xiaofeng Zhang

Journal of Futures Markets, 2017, vol. 37, issue 7, 717-740

Abstract: This study examines the role of extended CSI 300 Index futures trading in price discovery. As a prerequisite for the facilitation of price discovery, we first confirm that extended trading is weak‐form efficient and driven by information. We find that the predictability of futures returns during extended trading on the index's overnight returns is strong and improving. More importantly, compared to the index, its futures price exhibits stronger price leadership, particularly in the early synchronous trading hours. Evidence suggests that extended trading facilitates price discovery at the opening and in the early trading hours of the stock market. © 2016 Wiley Periodicals, Inc. Jrl Fut Mark 37:717–740, 2017

Date: 2017
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