Could the extended trading of CSI 300 index futures facilitate its role of price discovery?
by Sungbin Sohn*, Xiaofeng Zhang
ARTICLE | Journal of Futures Markets | No.7, Vol. 37, 2017
Abstract
This study examines the role of extended CSI 300 Index futures trading in price discovery. As a prerequisite for the facilitation of price discovery, we first confirm that extended trading is weak-form efficient and driven by information. We find that the predictability of futures returns during extended trading on the index’s overnight returns is strong and improving. More importantly, compared to the index, its futures price exhibits stronger price leadership, particularly in the early synchronous trading hours. Evidence suggests that extended trading facilitates price discovery at the opening and in the early trading hours of the stock market.
Popular Articles
-
International Student Profile: Kevin Kurnia
Oct 12 2017
-
PHBS Opening a Campus in UK: Se...
Feb 22 2017
-
PHBSers: Wishing You a Better Year Ahead!
Dec 30 2016
Latest News
-
Yeujun Yoon: Rise to Challenges and Find the True Calling
Time:Feb 23 2018
-
PHBS Exchange Students: Heavier Luggage, Fuller Hearts
Time:Jan 23 2018
-
PHBS 2018 Winter Camp: When Pyth...
Time:Jan 23 2018
Campus Events