Economics, Econometrics and Finance
8 years ago

Extended trading of CSI 300 Index futures boosts stock market price discovery.

Journal of Futures Markets
Could the Extended Trading of CSI 300 Index Futures Facilitate Its Role of Price Discovery?
Sungbin Sohn, Xiaofeng Zhang

Paper Summary

The study looked at whether trading CSI 300 Index futures for longer hours helps set prices accurately. They found that extended trading is efficient and driven by information. Futures prices can predict index returns well, especially in the early trading hours. Futures prices lead index prices, showing that extended trading helps set prices at the stock market's opening and early hours.

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