Night Trading with Futures in China: The Case of Aluminum and Copper

Arbeitspapier

We use high-frequency data to examine the effects of introducing an additional night trading session of four hours at the Shanghai Futures Exchange for Copper and Aluminum futures in December 2013. This additional trading session is shown to cause a structural break in the intraday behavior of prices. For Copper, the realized volatility of the regular session is endogenously determined while the night session is strongly driven by the immediately preceding realized volatility of the LME. In contrast, there is only little evidence for a directional spillover from the LME to SHFE for Aluminum futures. We find no indications that the SHFE is pulling volume from LME with the additional trading at night. Last, the now existing break between the day-time session and the night trading session is found to have significant informational content for Copper and Aluminum volatility and needs to be treated separately when extracting jump components from realized volatility

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: QMS Research Paper ; No. 2019/06

Classification and Topics

• Classification: Wirtschaft ; Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes ; International Financial Markets ; Commodity Markets

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Klein, Tony ; Todorova, Neda
• Event: Veröffentlichung
• (who): Queen's University Belfast, Queen's Management School
• (where): Belfast
• (when): 2019

Further information

• DOI: doi:10.2139/ssrn.3249598
• Handle: http://hdl.handle.net/10419/271226
• Last update: 10.03.2025, 11:44 AM CET