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Could the Extended Trading of CSI 300 Index Futures Facilitate Its Role of Price Discovery?

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  • Sungbin Sohn
  • Xiaofeng Zhang

Abstract

This study examines the role of extended CSI 300 Index futures trading in price discovery. As a prerequisite for the facilitation of price discovery, we first confirm that extended trading is weak‐form efficient and driven by information. We find that the predictability of futures returns during extended trading on the index's overnight returns is strong and improving. More importantly, compared to the index, its futures price exhibits stronger price leadership, particularly in the early synchronous trading hours. Evidence suggests that extended trading facilitates price discovery at the opening and in the early trading hours of the stock market. © 2016 Wiley Periodicals, Inc. Jrl Fut Mark 37:717–740, 2017

Suggested Citation

  • Sungbin Sohn & Xiaofeng Zhang, 2017. "Could the Extended Trading of CSI 300 Index Futures Facilitate Its Role of Price Discovery?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 37(7), pages 717-740, July.
    • Handle: RePEc:wly:jfutmk:v:37:y:2017:i:7:p:717-740
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    Cited by:

    1. Klein, Tony & Todorova, Neda, 2021. "Night trading with futures in China: The case of Aluminum and Copper," Resources Policy, Elsevier, vol. 73(C).
    2. Liwei Jin & Xianghui Yuan & Shihao Wang & Peiran Li & Feng Lian, 2022. "Trades or quotes: Which drives price discovery? Evidence from Chinese index futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(12), pages 2235-2247, December.
    3. Mahmoud Qadan & David Y. Aharon, 2019. "The length of the trading day and trading volume," Eurasian Business Review, Springer;Eurasia Business and Economics Society, vol. 9(2), pages 137-156, June.
    4. Kwangwon Ahn & Yingyao Bi & Sungbin Sohn, 2019. "Price discovery among SSE 50 Index‐based spot, futures, and options markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(2), pages 238-259, February.
    5. Carol Alexander & Jaehyuk Choi & Heungju Park & Sungbin Sohn, 2020. "BitMEX bitcoin derivatives: Price discovery, informational efficiency, and hedging effectiveness," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(1), pages 23-43, January.
    6. Xiaojie Xu & Yun Zhang, 2023. "Neural network predictions of the high-frequency CSI300 first distant futures trading volume," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 37(2), pages 191-207, June.

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