The Impact of Underlying Market Closure on Futures Market Liquidity: Evidence from China
This study investigates the trading activity of Chinese stock index futures, recently introduced at the open and close of the underlying trading. We document the impact of the underlying spot on the futures market liquidity as well as volatility as discussed in earlier works on market closure theory...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Universiti Utara Malaysia
2012
|
| Subjects: | |
| Online Access: | https://repo.uum.edu.my/id/eprint/25021/1/IJBF%209%2022012%2026%2043.pdf |
| _version_ | 1825805207238344704 |
|---|---|
| author | Wang, Chun Wei Frino, Alex |
| author_facet | Wang, Chun Wei Frino, Alex |
| author_sort | Wang, Chun Wei |
| collection | UUM |
| description | This study investigates the trading activity of Chinese stock index futures, recently introduced at the open and close of the underlying trading. We document the impact of the underlying spot on the futures market liquidity as well as volatility as discussed in earlier works on market closure theory. Our empirical results support previous literature on the impact of the underlying, particularly during the open session, as a contagion effect, which is clearly at play. We find significant U-shaped patterns in liquidity factors and intraday volatility during open and close trades in the morning. |
| first_indexed | 2024-07-04T06:28:31Z |
| format | Article |
| id | uum-25021 |
| institution | Universiti Utara Malaysia |
| language | English |
| last_indexed | 2024-07-04T06:28:31Z |
| publishDate | 2012 |
| publisher | Universiti Utara Malaysia |
| record_format | eprints |
| spelling | uum-250212018-10-25T00:32:51Z https://repo.uum.edu.my/id/eprint/25021/ The Impact of Underlying Market Closure on Futures Market Liquidity: Evidence from China Wang, Chun Wei Frino, Alex HG Finance This study investigates the trading activity of Chinese stock index futures, recently introduced at the open and close of the underlying trading. We document the impact of the underlying spot on the futures market liquidity as well as volatility as discussed in earlier works on market closure theory. Our empirical results support previous literature on the impact of the underlying, particularly during the open session, as a contagion effect, which is clearly at play. We find significant U-shaped patterns in liquidity factors and intraday volatility during open and close trades in the morning. Universiti Utara Malaysia 2012 Article PeerReviewed application/pdf en https://repo.uum.edu.my/id/eprint/25021/1/IJBF%209%2022012%2026%2043.pdf Wang, Chun Wei and Frino, Alex (2012) The Impact of Underlying Market Closure on Futures Market Liquidity: Evidence from China. The International Journal of Banking and Finance, 9 (2). pp. 26-43. ISSN 1617-722 http://ijbf.uum.edu.my/index.php/previous-issues/146-the-international-journal-of-banking-and-finance-ijbf-vol-9-no-2-june-2012 |
| spellingShingle | HG Finance Wang, Chun Wei Frino, Alex The Impact of Underlying Market Closure on Futures Market Liquidity: Evidence from China |
| title | The Impact of Underlying Market Closure on Futures Market Liquidity: Evidence from China |
| title_full | The Impact of Underlying Market Closure on Futures Market Liquidity: Evidence from China |
| title_fullStr | The Impact of Underlying Market Closure on Futures Market Liquidity: Evidence from China |
| title_full_unstemmed | The Impact of Underlying Market Closure on Futures Market Liquidity: Evidence from China |
| title_short | The Impact of Underlying Market Closure on Futures Market Liquidity: Evidence from China |
| title_sort | impact of underlying market closure on futures market liquidity evidence from china |
| topic | HG Finance |
| url | https://repo.uum.edu.my/id/eprint/25021/1/IJBF%209%2022012%2026%2043.pdf |
| work_keys_str_mv | AT wangchunwei theimpactofunderlyingmarketclosureonfuturesmarketliquidityevidencefromchina AT frinoalex theimpactofunderlyingmarketclosureonfuturesmarketliquidityevidencefromchina AT wangchunwei impactofunderlyingmarketclosureonfuturesmarketliquidityevidencefromchina AT frinoalex impactofunderlyingmarketclosureonfuturesmarketliquidityevidencefromchina |