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The effect of nighttime trading of futures markets on information flows: evidence from China

Author

Listed:
  • Hung-Gay Fung

    (University of Missouri-St. Louis)

  • Liuqing Mai

    (University of Missouri-St. Louis)

  • Lin Zhao

    (Martha and Spencer Love School of Business, Elon University)

Abstract

Background In the past couple of years, China’s futures exchanges have launched nighttime trading sessions. Methods We use daily data from 23 commodity futures to investigate the impact of this important policy change. Results Our findings suggest that the launching of nighttime trading effectively improved the efficiency of futures prices and reduced the volatility of prices. The normality of returns improves during the post-nighttime trading period. As documented in the literature, the interactions between trading activities (i.e., trading volume and open interest) and volatility conform better to the observed patterns in developed markets. Conclusions This study provides sound evidence that China has taken steady steps toward its goal of establishing price-setting power in key commodities on world financial markets.

Suggested Citation

  • Hung-Gay Fung & Liuqing Mai & Lin Zhao, 2016. "The effect of nighttime trading of futures markets on information flows: evidence from China," China Finance and Economic Review, Springer, vol. 4(1), pages 1-16, December.
    • Handle: RePEc:spr:chfecr:v:4:y:2016:i:1:d:10.1186_s40589-016-0032-0
    DOI: 10.1186/s40589-016-0032-0
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    References listed on IDEAS

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    Cited by:

    1. Klein, Tony & Todorova, Neda, 2019. "Night Trading with Futures in China: The Case of Aluminum and Copper," QBS Working Paper Series 2019/06, Queen's University Belfast, Queen's Business School.
    2. Klein, Tony & Todorova, Neda, 2021. "Night trading with futures in China: The case of Aluminum and Copper," Resources Policy, Elsevier, vol. 73(C).
    3. Weiyi Xia & Tao Xiong & Miao Li, 2024. "Can night trading reduce price volatility? Evidence from China's corn and corn starch futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(4), pages 585-604, April.
    4. Fan, John Hua & Fernandez-Perez, Adrian & Indriawan, Ivan & Todorova, Neda, 2020. "Internationalization of futures markets: Lessons from China," Pacific-Basin Finance Journal, Elsevier, vol. 63(C).

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