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The Impact of Introducing Nighttime Trading Hours: Revisiting the Chinese Commodity Futures Market

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  • Lin Zhao

Abstract

Chinese futures exchanges began to implement nighttime trading hours in 2013. Years after, most Chinese commodity futures have adopted night trading session, and the Chinese market also has experienced fast development and become more accessible to foreign traders. Using daily data of commodity futures, we explore the influence of the nighttime trading policy on the price dynamics of the domestic Chinese futures market. Empirical results from this study suggest an improvement in the overall efficiency of Chinese commodity futures prices. In particular, the positive (negative) relationship between volatility and trading volume (open interest) becomes stronger after the launching of nighttime trading session.

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  • Lin Zhao, 2020. "The Impact of Introducing Nighttime Trading Hours: Revisiting the Chinese Commodity Futures Market," Chinese Economy, Taylor & Francis Journals, vol. 54(2), pages 124-144, October.
    • Handle: RePEc:mes:chinec:v:54:y:2020:i:2:p:124-144
    DOI: 10.1080/10971475.2020.1830227
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    Cited by:

    1. Rehman, Mobeen Ur & Vo, Xuan Vinh & Ko, Hee-Un & Ahmad, Nasir & Kang, Sang Hoon, 2023. "Quantile connectedness between Chinese stock and commodity futures markets," Research in International Business and Finance, Elsevier, vol. 64(C).
    2. Klein, Tony & Todorova, Neda, 2021. "Night trading with futures in China: The case of Aluminum and Copper," Resources Policy, Elsevier, vol. 73(C).

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