Extended Trading in Chinese Index Markets: Informed or Uninformed?

Posted: 26 Sep 2016

See all articles by Hua Renhai

Hua Renhai

Independent

Qingfu Liu

Independent

Yiuman Tse

University of Missouri at Saint Louis

Date Written: 2016

Abstract

The extension of trading hours for HS 300 index futures (China Shanghai Shenzhen 300 Stock Index Futures or Hushen 300 Index) in China provides an opportunity for examining whether extended futures trading has significant price discovery in exchange-traded fund (ETF) returns during regular trading hours. We find that pre-open and post-close futures trades significantly influence ETF returns. Extended futures trades contribute to price discovery, while maintaining the pricing efficiency of the ETF market. We also show that there are more informed trades during the pre-open trading session than during the post-close trading session in the futures market.

Keywords: Extended trading, Chinese index markets

Suggested Citation

Renhai, Hua and Liu, Qingfu and Tse, Yiuman, Extended Trading in Chinese Index Markets: Informed or Uninformed? (2016). Pacific-Basin Finance Journal, Vol. 36, 2016. Available at SSRN: https://ssrn.com/abstract=2843077

Hua Renhai

Independent ( email )

No Address Available

Qingfu Liu

Independent ( email )

No Address Available

Yiuman Tse (Contact Author)

University of Missouri at Saint Louis ( email )

1 University Blvd.
St Louis, MO 63121
United States

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