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Night trading and market quality: Evidence from Chinese and U.S. precious metal futures markets

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. ISSN 0270-7314

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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 > Essex Business School
Depositing User: Elements
Date Deposited: 03 Jul 2020 14:46
Last Modified: 03 Jul 2020 15:15
URI: http://repository.essex.ac.uk/id/eprint/27740

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