Premium
Night trading and market quality: Evidence from Chinese and US precious metal futures markets
Author(s) -
Jiang Ying,
Kellard Neil,
Liu Xiaoquan
Publication year - 2020
Publication title -
journal of futures markets
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.88
H-Index - 55
eISSN - 1096-9934
pISSN - 0270-7314
DOI - 10.1002/fut.22147
Subject(s) - futures contract , market liquidity , precious metal , price discovery , monetary economics , volatility (finance) , algorithmic trading , open outcry , business , electronic trading , futures market , economics , alternative trading system , financial economics , finance , metal , chemistry , organic chemistry
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.