{"title":"Can night trading reduce price volatility? Evidence from China's corn and corn starch futures markets","authors":"Weiyi Xia, Tao Xiong, Miao Li","doi":"10.1002/fut.22483","DOIUrl":null,"url":null,"abstract":"<p>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.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 4","pages":"585-604"},"PeriodicalIF":1.8000,"publicationDate":"2024-01-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Futures Markets","FirstCategoryId":"96","ListUrlMain":"https://onlinelibrary.wiley.com/doi/10.1002/fut.22483","RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 0
Abstract
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.
自2013年起，中国期货交易所开始实施农产品期货夜盘交易，通过延长交易时间来降低期货产品的隔夜风险和价格跳动。本研究采用差分法（DID）考察了玉米和玉米淀粉期货市场夜盘交易对日间价格波动的影响。根据这些期货的逐笔数据，我们发现夜盘交易显著降低了白天的波动性，并促进了相应期货市场价格波动的稳定性。此外，我们对白天的不同时段进行了 DID 估计，发现白天波动率的降低主要发生在第一个交易时段。稳健性检验和安慰剂检验进一步支持了我们的主要结论。我们的研究结果为期货交易所和监管机构制定期货和期权夜盘交易政策提供了有价值的指导。
期刊介绍：
The Journal of Futures Markets chronicles the latest developments in financial futures and derivatives. It publishes timely, innovative articles written by leading finance academics and professionals. Coverage ranges from the highly practical to theoretical topics that include futures, derivatives, risk management and control, financial engineering, new financial instruments, hedging strategies, analysis of trading systems, legal, accounting, and regulatory issues, and portfolio optimization. This publication contains the very latest research from the top experts.
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