Kellard, Neil and Jiang, Ying and Liu, Xiaoquan (2020) 'Night trading and market quality: Evidence from Chinese and U.S. precious metal futures markets.' Journal of Futures Markets, 40 (10). pp. 1486-1507. ISSN 0270-7314
|
Text
fut.22147.pdf - Published Version Available under License Creative Commons Attribution. Download (1MB) | Preview |
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 U.S. 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 bi-directionally. Longer trading hours have decreased market segmentation and increased information flow.
Item Type: | Article |
---|---|
Uncontrolled Keywords: | information flow; intraday data; price discovery; trading hours; volatility spillovers |
Divisions: | Faculty of Social Sciences Faculty of Social Sciences > Essex Business School |
SWORD Depositor: | Elements |
Depositing User: | Elements |
Date Deposited: | 03 Jul 2020 14:46 |
Last Modified: | 06 Jan 2022 14:14 |
URI: | http://repository.essex.ac.uk/id/eprint/27740 |
Actions (login required)
![]() |
View Item |