Does More Trading Lead to Better Market Linkage?Evidence from the Commodity Futures Markets

作     者：Hung-Gay Fung Zijun Wang Lin Zhao 

作者机构：College of Business Administration&Office of International Services and ProgramUniversity of Missouri-St.LouisUSA Department of FinanceCollege of BusinessUniversity of Texas at San AntonioUSA Department of FinanceMartha and Spencer Love School of BusinessElon UniversityUSA 

出 版 物：《China Finance and Economic Review》 (中国财政与经济研究（英文）)

年 卷 期：2018年第7卷第1期

页      面：50-72页

学科分类：02[经济学] 0202[经济学-应用经济学] 020206[经济学-国际贸易学] 

主　　题：Chinese futures market market linkage nighttime trading 

摘      要：In this study,we use eight pairs of commodity futures data to investigate the impact of the recently launched nighttime trading session by Chinese futures exchanges.We conduct a thorough empirical analysis on the cross-market information transmission mechanisms between China and the U.S.We apply various econometric analyses including the co-integration analysis,the forecast error variance decomposition analysis,and the volatility spillover analysis with a bivariate GARCH model.Findings in this study indicate that,after the launching of nighttime-trading hours in China,the price discovery function of the Chinese futures market is noticeably improved,and that the Chinese market began to dominate the U.S.market in the bidirectional volatility spillover process.Thus,the introduction of the nighttime-trading hours appears to be an effective step toward China’s long-term goal of establishing pricing power in key commodities on the global financial market.