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

43 Pages Posted: 7 Oct 2018 Last revised: 12 Jul 2021

See all articles by Tony Klein

Tony Klein

Chemnitz University of Technology (CUT) - Department of Economics

Neda Todorova

Griffith University

Date Written: June 13, 2019


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.

Keywords: SHFE, Futures Markets, Aluminum, Copper, High-Frequency Data, Night Trading

JEL Classification: C2, C22, G15, Q02

Suggested Citation

Klein, Tony and Todorova, Neda, Night Trading with Futures in China: The Case of Aluminum and Copper (June 13, 2019). QMS Research Paper 2019/06; Final Version of the Paper: 10.1016/j.resourpol.2021.102205, Resources Policy, Vol 73, 102205., Available at SSRN: or

Tony Klein (Contact Author)

Chemnitz University of Technology (CUT) - Department of Economics ( email )


Neda Todorova

Griffith University ( email )

170 Kessels Road
Nathan, Queensland QLD 4111

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