Economics, Econometrics and Finance
4 years ago

Extended trading in Chinese index markets drives informed price discovery in ETFs.

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SSRN Electronic Journal
Extended Trading in Chinese Index Markets: Informed or Uninformed?
Hua Renhai, Qingfu Liu, Yiuman Tse

Paper Summary

Extended trading hours for Chinese index futures impact ETF returns, with pre-open and post-close futures trades influencing prices. Informed trades are more prevalent during pre-open sessions than post-close sessions, contributing to price discovery while maintaining ETF market efficiency.

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