The Impact of Underlying Market Closure on Futures Market Liquidity: Evidence from China

Authors

  • Wang Chun Wei University of Sydney, Australia
  • Alex Frino University of Sydney, Australia

DOI:

https://doi.org/10.32890/ijbf2012.9.2.2

Keywords:

Market microstructure, Market closure theory, Liquidity, Chinese futures market

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.

 

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Published

12-06-2012

Issue

Vol. 9 No. 2 (2012): International Journal of Banking and Finance (IJBF) Vol. 9, No.2, 2012

Section

Articles

How to Cite

Wei, W. C., & Frino, A. (2012). The Impact of Underlying Market Closure on Futures Market Liquidity: Evidence from China. International Journal of Banking and Finance, 9(2), 26-43. https://doi.org/10.32890/ijbf2012.9.2.2

Research impact

Harvested 2026-09-07
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Identifiers DOI 10.32890/ijbf2012.9.2.2 OpenAlex W2314526095