Night trading and market quality: Evidence from Chinese and US precious metal futures markets
Year: 2020
Type: article
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.
Source: Journal of Futures Markets
DOI: 10.1002/fut.22147
Authors: Ying Jiang, Neil Kellard, Xiaoquan Liu
Institutions: University of Nottingham Ningbo China, University of Essex
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: hybrid
Estimated APC paid: $2,800
OpenAlex ID: W3040159948