The effect of nighttime-trading of futures markets on information flows:Evidence from China

作     者：Fung Hung-Gay Mai Liuqing Zhao Lin 

作者机构：College of Business AdministrationUniversity of Missouri-St.LouisOne University Blvd.St.LouisMO 63121USA Department of FinanceMartha and Spencer Love School of BusinessElon UniversityElonNC 27244USA 

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

年 卷 期：2016年第5卷第1期

页      面：42-56页

学科分类：0202[经济学-应用经济学] 02[经济学] 1202[管理学-工商管理] 0201[经济学-理论经济学] 020206[经济学-国际贸易学] 0701[理学-数学] 

主　　题：China’s futures market futures price and volatility nighttime trading 

摘      要：In the past couple of years,China’s futures exchanges have launched nighttime trading *** use daily data from 23 commodity futures to investigate the impact of this important policy *** findings suggest that the launching of nighttime trading effectively improved the efficiency of futures prices and reduced the volatility of *** normality of returns improves during the post-nighttime trading *** documented in the literature,the interactions between trading activities(i.e.,trading volume and open interest)and volatility conform better to the observed patterns in developed *** study provides sound evidence that China has taken steady steps toward its goal of establishing price-setting power in key commodities on world financial markets.