Extended trading in Chinese index markets: Informed or uninformed?

Could the Extended Trading of CSI 300 Index Futures Facilitate Its Role of Price Discovery?

“…Table presents the estimation results of Equation for the entire sample and yearly subsamples. The futures returns in the pre‐open and post‐close sessions have a significant prediction power for the overnight return of the CSI 300 Index, which is consistent with previous studies (Cheng et al, ; Hua et al, ). This predictability is highly significant and robust to the sample selection.…”

“…For a comprehensive understanding of the two strands of the stock index futures literature, particularly in emerging markets, this study uses a relatively long data period in the Chinese markets and investigates whether the extended trading of CSI 300 Index futures facilitates price discovery—not only at the stock market opening but also in the stock‐futures synchronous trading hours. Because there is likely to be substantial information asymmetry and a high ratio of informed to uninformed trading in the morning (Hua, Liu, & Tse ), pre‐open extended trading could provide traders with preparation time to fully digest the overnight news. The post‐close extended trading session could allow traders to make potential portfolio adjustments based on the entire day's information without interruption from the cash market.…”

“…After we submitted the initial draft, a similar but different work by Hua et al () became available online. This study differs from theirs in that it considers the time‐varying effect of extended futures trading and seeks to provide evidence against an alternative explanation.…”

Do exchange‐traded fund flows increase the volatility of the underlying index? Evidence from the emerging market in China

“…Looking at the emerging ETF market in China, Hua et al . () study the Jiashi CSI 300 ETF and CSI 300 index futures, and demonstrate that the pre‐open and post‐close futures trades influence ETF returns. Chen et al .…”

Do ETF flows increase market efficiency? Evidence from China

“…This rule actually helps to specify different trading motives of market participants including the ETF share-creating and -redeeming motives of participating dealers (PDs). 1 Studying the Chinese ETF market, Hua et al (2016) focus on the CSI 300 futures and Jiashi CSI 300 ETF, and they find that ETF returns are affected by pre-opening and post-closing futures trades. Focusing on the two ETFs tracking the CSI 300 − Huatai and Jiashi − Chen et al (2017) study the influence of the 'T + 1' trading rule on speculation.…”