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

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Abstract

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.

Item Type:	Article
Uncontrolled Keywords:	Market microstructure, market closure theory, liquidity, Chinese futures market
Subjects:	H Social Sciences > HG Finance
Divisions:	School of Economics, Finance & Banking
Depositing User:	Mrs. Norazmilah Yaakub
Date Deposited:	25 Oct 2018 00:32
Last Modified:	25 Oct 2018 00:32
URI:	https://repo.uum.edu.my/id/eprint/25021

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