Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/271226 
Erscheinungsjahr: 
2019
Schriftenreihe/Nr.: 
QMS Research Paper No. 2019/06
Verlag: 
Queen's University Belfast, Queen's Management School, Belfast
Zusammenfassung: 
We use high-frequency data to examine the effects of introducing an additional night trading session of four hours at the Shanghai Futures Exchange for Copper and Aluminum futures in December 2013. This additional trading session is shown to cause a structural break in the intraday behavior of prices. For Copper, the realized volatility of the regular session is endogenously determined while the night session is strongly driven by the immediately preceding realized volatility of the LME. In contrast, there is only little evidence for a directional spillover from the LME to SHFE for Aluminum futures. We find no indications that the SHFE is pulling volume from LME with the additional trading at night. Last, the now existing break between the day-time session and the night trading session is found to have significant informational content for Copper and Aluminum volatility and needs to be treated separately when extracting jump components from realized volatility
JEL: 
C2
C22
G15
Q02
Persistent Identifier der Erstveröffentlichung: 
Dokumentart: 
Working Paper

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