Night trading and market quality: Evidence from Chinese and US precious metal futures markets |
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| Authors: | Ying Jiang Neil Kellard Xiaoquan Liu |
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| Institution: | 1. Nottingham University Business School China, UNNC-NFTZ Blockchain Laboratory, University of Nottingham Ningbo China, Ningbo, Zhejiang, China;2. Essex Business School and Essex Finance Centre, University of Essex, Colchester, UK |
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| 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. |
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| Keywords: | information flow intraday data price discovery trading hours volatility spillovers |
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