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

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    Embargoed until: 2023-07-05
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    Accepted Manuscript (AM)
    Author(s)
    Klein, T
    Todorova, N
    Griffith University Author(s)
    Todorova, Neda
    Year published
    2021
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    Abstract
    We use high-frequency data to examine the effects of introducing a night trading session at the Shanghai Futures Exchange (SHFE) in 2013. For Copper, the realized volatility of the regular session is endogenously determined, while the night session is driven by the immediately preceding volatility of the London Metal Exchange (LME). In contrast, Chinese Aluminum futures are more resistant to exogenous factors and show pronounced long memory. We find no indications that the SHFE draws volume from LME. The existing break between daytime and night session has significant informational content and must be separated when processing ...
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    We use high-frequency data to examine the effects of introducing a night trading session at the Shanghai Futures Exchange (SHFE) in 2013. For Copper, the realized volatility of the regular session is endogenously determined, while the night session is driven by the immediately preceding volatility of the London Metal Exchange (LME). In contrast, Chinese Aluminum futures are more resistant to exogenous factors and show pronounced long memory. We find no indications that the SHFE draws volume from LME. The existing break between daytime and night session has significant informational content and must be separated when processing intraday data.
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    Journal Title
    Resources Policy
    Volume
    73
    DOI
    https://doi.org/10.1016/j.resourpol.2021.102205
    Copyright Statement
    © 2021 Elsevier. Licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International Licence (http://creativecommons.org/licenses/by-nc-nd/4.0/) which permits unrestricted, non-commercial use, distribution and reproduction in any medium, providing that the work is properly cited.
    Subject
    Banking, finance and investment
    International finance
    Publication URI
    http://hdl.handle.net/10072/406214
    Collection
    • Journal articles

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