Night trading and market quality: Evidence from Chinese and US precious metal futures markets

Ying Jiang, Neil Kellard, Xiaoquan Liu

Research output: Journal PublicationArticlepeer-review

7 Citations (Scopus)

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 languageEnglish
Pages (from-to)1486-1507
Number of pages22
JournalJournal of Futures Markets
Volume40
Issue number10
DOIs
Publication statusPublished - 1 Oct 2020

Keywords

  • information flow
  • intraday data
  • price discovery
  • trading hours
  • volatility spillovers

ASJC Scopus subject areas

  • Accounting
  • Business, Management and Accounting (all)
  • Finance
  • Economics and Econometrics

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