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Night trading and market quality: Evidence from Chinese and US precious metal futures markets

Ying Jiang, Neil Kellard and Xiaoquan Liu

Journal of Futures Markets, 2020, vol. 40, issue 10, 1486-1507

Abstract: Given a dominant exchange, how should other exchanges set their trading hours? We examine the introduction of a night session by the Shanghai Futures Exchange, allowing trading concurrently with daytime trading at the Commodity Exchange in the United States. After developing hypotheses, results for gold and silver show: trading activity has increased; liquidity in Shanghai has risen and prices are less volatile at market opening; the price discovery share of Chinese gold futures has fallen but this is not a sign of weakening market quality; and volatility spillovers increase bidirectionally. Longer trading hours have decreased market segmentation and increased information flow.

Date: 2020
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