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.
| Original language | English |
|---|---|
| Pages (from-to) | 1486-1507 |
| Number of pages | 22 |
| Journal | Journal of Futures Markets |
| Volume | 40 |
| Issue number | 10 |
| DOIs | |
| Publication status | Published - 1 Oct 2020 |
Keywords
- information flow
- intraday data
- price discovery
- trading hours
- volatility spillovers
ASJC Scopus subject areas
- Accounting
- General Business,Management and Accounting
- Finance
- Economics and Econometrics