Night trading with futures in China: The case of Aluminum and Copper

Klein, Tony; Todorova, Neda

doi:10.1016/j.resourpol.2021.102205

Cited by 16 publications

(8 citation statements)

References 65 publications

(71 reference statements)

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“…This improved efficiency helps mitigate extreme prices and decreases daily volatility in futures markets. Moreover, night trading in futures markets allows investors to obtain real‐time information from simultaneous trading in foreign markets and execute futures contracts promptly (Klein & Todorova, 2021). Since the policy eliminates the need for hurried trading contracts at the next day's opening to release information accumulated in external markets, those who seek to reduce overnight risk are no longer required to trade futures orders at the end of the trading day.…”

Section: Resultsmentioning

confidence: 99%

“…They further investigate volatility spillover effects between the US market and the SHFE market; their results suggest that the volatility interdependence of the two countries has deepened, which shows that night trading can increase the information flow. By using high‐frequency data from the SHFE and LME, Klein and Todorova (2021) run a heterogeneous autoregressive model to analyze the memory characteristics of realized volatility (RV) before and after the introduction of night trading. They conclude that the RV of the Chinese copper futures market in daytime sessions is determined internally, while it is driven by the immediate volatility of the LME in night sessions.…”

Section: Introductionmentioning

confidence: 99%

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Can night trading reduce price volatility? Evidence from China's corn and corn starch futures markets

Xia,

Xiong,

2024

Journal of Futures Markets

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Since 2013, China's futures exchanges have implemented night trading for agricultural futures to reduce the overnight risk and price jump of futures products by extending trading hours. This study uses difference‐in‐differences (DID) to examine the impacts of night trading on daytime price volatility in corn and corn starch futures markets. On the basis of tick‐by‐tick data for these futures, we find that night trading has significantly reduced daytime volatility and contributed to price volatility stability in the corresponding futures market. Moreover, we make DID estimations for separate daytime sessions and find that the reduction of the daytime volatility takes place mainly during the first trading session. Robustness and placebo tests further support our main conclusions. Our results provide valuable guidance for futures exchanges and regulators seeking to formulate night trading policies for futures and options.

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Section: Resultsmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

Can night trading reduce price volatility? Evidence from China's corn and corn starch futures markets

Xia,

Xiong,

2024

Journal of Futures Markets

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“…Copper futures prices in China, the US, and the UK are found to be cointegrated with the least contribution from the Chinese market in the process of price discovery (Hua, Lu, and Chen, 2010). Klein and Todorova (2021) examined the effect of the introduction of the night session on the volatility of the metal futures market at Chinese exchanges. It has been found that, unlike the day session, the copper futures traded at night session has an impact from the volatility at the London Metal Exchange (LME).…”

Section: Chinese and Indian Metal Futures Marketsmentioning

confidence: 99%

Indian and Chinese Metal Futures Markets: A Linkage Analysis

Kumar

Dhiman

2022

Acta Universitatis Sapientiae, Economics and Business

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This paper aims to test the long-run and short-run relationships between the Indian and Chinese metal futures markets using the weekly closing prices of three nonferrous metals, that is, copper, aluminium, and zinc, for the period of 2009–2020. The empirical results show no cointegration for any of the three metals. The Granger causality test suggests a unidirectional relationship from India to China for copper futures and bidirectional causality for aluminium and zinc futures markets. This paper contributes to the literature by studying the relationship between the mentioned two emerging markets, which are top producers and consumers in commodities and have growing futures markets. The results have important implications for investors, portfolio makers, and policymakers of emerging economies.

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“…Tables 4 and 5 report the estimation results of the potential drivers of volatility and correlation in precious metal futures over three periods of the 2008 crisis. This selection arises as the futures contracts on precious metals have become the most-widely used instruments for risk management in more volatile periods, and the U.S. and China have played an important role in global derivatives trading for metals (Klein and Todorova, 2021).…”

Section: The Global Financial Crisis Of 2008 and Macro-finance Driver...mentioning

confidence: 99%