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

机译：期货市场夜间交易对信息流的影响：来自中国的证据

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Abstract Background In the past couple of years, China’s futures exchanges have launched nighttime trading sessions. Methods We use daily data from 23 commodity futures to investigate the impact of this important policy change. Results Our findings suggest that the launching of nighttime trading effectively improved the efficiency of futures prices and reduced the volatility of prices. The normality of returns improves during the post-nighttime trading period. As 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 markets. Conclusions This 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.
机译：摘要背景在过去的几年中，中国的期货交易所推出了夜间交易时段。方法我们使用来自23种商品期货的每日数据来调查这一重要政策变化的影响。结果我们的发现表明，夜间交易的开展有效地提高了期货价格的效率，并降低了价格的波动性。在夜间交易后，收益率的正态性得到改善。如文献所述，交易活动（即交易量和持仓量）与波动之间的相互作用更好地符合了发达市场中观察到的模式。结论本研究提供了有力的证据，表明中国已朝着在世界金融市场上建立关键商品的定价权这一目标迈出了稳步的步伐。

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