Night trading with futures in China: the case of aluminum and copper

Tony Klein; Neda Todorova

doi:10.1016/j.resourpol.2021.102205

Night trading with futures in China: the case of aluminum and copper

Tony Klein, Neda Todorova

Queen's Management School

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Abstract

We use high-frequency data to examine the effects of introducing a night trading session at the Shanghai Futures Exchange (SHFE) in 2013. For Copper, the realized volatility of the regular session is endogenously determined, while the night session is driven by the immediately preceding volatility of the London Metal Exchange (LME). In contrast, Chinese Aluminum futures are more resistant to exogenous factors and show pronounced long memory. We find no indications that the SHFE draws volume from LME. The existing break between daytime and night session has significant informational content and must be separated when processing intraday data.

Original language	English
Article number	102205
Journal	Resources Policy
Volume	73
Early online date	05 Jul 2021
DOIs	https://doi.org/10.1016/j.resourpol.2021.102205
Publication status	Early online date - 05 Jul 2021

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Night trading with futures in China: the case of aluminum and copper
Copyright 2021 Elsevier Ltd. This manuscript is distributed under a Creative Commons Attribution-NonCommercial-NoDerivs License (https://creativecommons.org/licenses/by-nc-nd/4.0/), which permits distribution and reproduction for non-commercial purposes, provided the author and source are cited.
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title = "Night trading with futures in China: the case of aluminum and copper",

abstract = "We use high-frequency data to examine the effects of introducing a night trading session at the Shanghai Futures Exchange (SHFE) in 2013. For Copper, the realized volatility of the regular session is endogenously determined, while the night session is driven by the immediately preceding volatility of the London Metal Exchange (LME). In contrast, Chinese Aluminum futures are more resistant to exogenous factors and show pronounced long memory. We find no indications that the SHFE draws volume from LME. The existing break between daytime and night session has significant informational content and must be separated when processing intraday data.",

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AB - We use high-frequency data to examine the effects of introducing a night trading session at the Shanghai Futures Exchange (SHFE) in 2013. For Copper, the realized volatility of the regular session is endogenously determined, while the night session is driven by the immediately preceding volatility of the London Metal Exchange (LME). In contrast, Chinese Aluminum futures are more resistant to exogenous factors and show pronounced long memory. We find no indications that the SHFE draws volume from LME. The existing break between daytime and night session has significant informational content and must be separated when processing intraday data.

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Night trading with futures in China: the case of aluminum and copper

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